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There are 68745 results for: content related to: Appendix B: Autocorrelation and Partial Autocorrelation

  1. Misspecification tests based on quantile residuals

    The Econometrics Journal

    Volume 15, Issue 2, June 2012, Pages: 358–393, Leena Kalliovirta

    Article first published online : 17 JUL 2012, DOI: 10.1111/j.1368-423X.2011.00364.x

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    Statistical evaluation of parameters estimating autocorrelation and individual heterogeneity in longitudinal studies

    Methods in Ecology and Evolution

    Volume 3, Issue 4, August 2012, Pages: 731–742, Sandra Hamel, Nigel G. Yoccoz and Jean-Michel Gaillard

    Article first published online : 23 MAR 2012, DOI: 10.1111/j.2041-210X.2012.00195.x

  3. The Determinants of Conditional Autocorrelation in Stock Returns

    Journal of Financial Research

    Volume 26, Issue 2, June 2003, Pages: 259–274, Michael D. McKenzie and Robert W. Faff

    Article first published online : 14 MAY 2003, DOI: 10.1111/1475-6803.00058

  4. Bartlett's formula for a general class of nonlinear processes

    Journal of Time Series Analysis

    Volume 30, Issue 4, July 2009, Pages: 449–465, Christian Francq and Jean-Michel Zakoïan

    Article first published online : 22 JUN 2009, DOI: 10.1111/j.1467-9892.2009.00623.x

  5. Generalized autoregressive conditional heteroscedasticity modelling of hydrologic time series

    Hydrological Processes

    Volume 27, Issue 22, 30 October 2013, Pages: 3174–3191, R. Modarres and T. B. M. J. Ouarda

    Article first published online : 3 JUL 2012, DOI: 10.1002/hyp.9452

  6. Robust estimation of (partial) autocorrelation

    Wiley Interdisciplinary Reviews: Computational Statistics

    Volume 7, Issue 3, May/June 2015, Pages: 205–222, Alexander Dürre, Roland Fried and Tobias Liboschik

    Article first published online : 31 MAR 2015, DOI: 10.1002/wics.1351

  7. Evaluating Specification Tests for Markov-Switching Time-Series Models

    Journal of Time Series Analysis

    Volume 29, Issue 4, July 2008, Pages: 629–652, Daniel R. Smith

    Article first published online : 28 JUN 2008, DOI: 10.1111/j.1467-9892.2008.00575.x

  8. ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

    Journal of Economic Surveys

    Volume 7, Issue 4, December 1993, Pages: 305–366, Anil K. Bera and Matthew L. Higgins

    Article first published online : 27 OCT 2006, DOI: 10.1111/j.1467-6419.1993.tb00170.x

  9. GARCH(p, q) Processes

    GARCH Models: Structure, Statistical Inference and Financial Applications

    Christian Francq, Jean-Michel Zakoïan, Pages: 17–61, 2010

    Published Online : 14 JUL 2010, DOI: 10.1002/9780470670057.ch2

  10. Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion

    The Journal of Finance

    Volume 58, Issue 4, August 2003, Pages: 1521–1556, Robert Connolly and Chris Stivers

    Article first published online : 15 JUL 2003, DOI: 10.1111/1540-6261.00576

  11. MODELLING STOCK MARKET VOLATILITY IN AUSTRALIA

    Journal of Business Finance & Accounting

    Volume 22, Issue 3, April 1995, Pages: 377–396, Des Nicholls and David Tonuri

    Article first published online : 7 DEC 2006, DOI: 10.1111/j.1468-5957.1995.tb00880.x

  12. Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints

    Journal of Time Series Analysis

    Volume 20, Issue 1, January 1999, Pages: 23–30, Changli He and Timo Terasvirta

    Article first published online : 4 JAN 2002, DOI: 10.1111/1467-9892.00123

  13. Conditional Heteroscedastic Models

    Analysis of Financial Time Series, Second Edition

    Ruey S. Tsay, Pages: 97–153, 2005

    Published Online : 24 AUG 2005, DOI: 10.1002/0471746193.ch3

  14. Model Identification

    Time Series Analysis, Fourth Edition

    George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Pages: 195–229, 2013

    Published Online : 19 MAY 2013, DOI: 10.1002/9781118619193.ch6

  15. The long-term extreme price risk measure of portfolio in inventory financing: An application to dynamic impawn rate interval

    Complexity

    Volume 20, Issue 5, May/June 2015, Pages: 17–34, Juan He, Jian Wang, Xianglin Jiang, Xiangfeng Chen and Lei Chen

    Article first published online : 17 APR 2014, DOI: 10.1002/cplx.21516

  16. Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

    Journal of Forecasting

    Volume 29, Issue 7, November 2010, Pages: 595–616, Kasing Man and Chunchi Wu

    Article first published online : 8 OCT 2009, DOI: 10.1002/for.1156

  17. Modelling Regime-Specific Stock Price Volatility

    Oxford Bulletin of Economics and Statistics

    Volume 71, Issue 6, December 2009, Pages: 761–797, Carol Alexander and Emese Lazar

    Article first published online : 28 JUL 2009, DOI: 10.1111/j.1468-0084.2009.00563.x

  18. Normal mixture GARCH(1,1): applications to exchange rate modelling

    Journal of Applied Econometrics

    Volume 21, Issue 3, April 2006, Pages: 307–336, Carol Alexander and Emese Lazar

    Article first published online : 18 APR 2006, DOI: 10.1002/jae.849

  19. MUTUAL FUND DAILY CONDITIONAL PERFORMANCE

    Journal of Financial Research

    Volume 32, Issue 2, Summer 2009, Pages: 95–122, Frank Coggins, Marie-Claude Beaulieu and Michel Gendron

    Article first published online : 12 JUN 2009, DOI: 10.1111/j.1475-6803.2009.01244.x

  20. Growth autocorrelation and animal size variation

    Ecology Letters

    Volume 7, Issue 2, February 2004, Pages: 106–113, Masami Fujiwara, Bruce E. Kendall and Roger M. Nisbet

    Article first published online : 16 DEC 2003, DOI: 10.1046/j.1461-0248.2003.00556.x