Search Results

Tests Of Non-Causality In A Frequency Band,
Sven Schreiber and Jörg Breitung, from Verein für Socialpolitik / German Economic Association (2015)

Are GARCH innovations independent - a long term assessment for the S&P 500,
Helmut Herwartz, from Verein für Socialpolitik / German Economic Association (2015)

Bias-corrected estimation in mildly explosive autoregressions,
Yves Robinson Kruse and Hendrik Kaufmann, from Verein für Socialpolitik / German Economic Association (2015)

Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach,
Martyna Marczak and Tommaso Proietti, from Verein für Socialpolitik / German Economic Association (2015)

Testing heteroskedastic time series for normality,
Matei Demetrescu and Robinson Kruse, from Verein für Socialpolitik / German Economic Association (2015)

Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility,
Christoph Hanck, Matei Demetrescu and Robinson Kruse, from Verein für Socialpolitik / German Economic Association (2015)

Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets,
Markus Haas and Ji-Chun Liu, from Verein für Socialpolitik / German Economic Association (2015)

Note on Higher-Order Statistics for the Pruned-State-Space of nonlinear DSGE models,
Willi Mutschler, from Verein für Socialpolitik / German Economic Association (2015)

Misspecification Testing in GARCH-MIDAS Models,
Christian Conrad and Melanie Schienle, from Verein für Socialpolitik / German Economic Association (2015)

Extended Yule-Walker identification of Varma models with single- or mixed frequency data,
Peter Zadrozny, from Center for Financial Studies (CFS) (2015)
Keywords: block-Vandermonde eigenvectors of block-companion state-transition, matrix of state-space representation, matrix spectral factorization