Extraction of trend, cycle, and memory from economic and financial series
Lead Research Organisation:
Imperial College London
Department Name: Imperial College Business School
Abstract
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Organisations
Publications
Abadir K
(2011)
An I() model with trend and cycles
in Journal of Econometrics
Abadir K
(2009)
Two estimators of the long-run variance: Beyond short memory
in Journal of Econometrics
Abadir K
(2013)
ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
in Econometric Theory
Abadir K
(2018)
LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS
in Econometric Theory
Awartani B
(2009)
Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks
in Journal of Business & Economic Statistics
Clements, Michael P.; Hendry, David F.
(2011)
The [Oxford] Handbook of Economic Forecasting
Corradi V
(2019)
Testing for Jump Spillovers Without Testing for Jumps
in Journal of the American Statistical Association
Corradi V
(2011)
Predictive Inference for Integrated Volatility
in Journal of the American Statistical Association
Corradi V
(2009)
Predictive density estimators for daily volatility based on the use of realized measures
in Journal of Econometrics
Distaso W
(2008)
Testing for unit root processes in random coefficient autoregressive models
in Journal of Econometrics