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There are 9670 results for: content related to: Integration of CARMA processes and spot volatility modelling

  1. Mean-Deviation Analysis in the Theory of Choice

    Risk Analysis

    Volume 32, Issue 8, August 2012, Pages: 1277–1292, Bogdan Grechuk, Anton Molyboha and Michael Zabarankin

    Article first published online : 7 APR 2011, DOI: 10.1111/j.1539-6924.2011.01611.x

  2. Least tail-trimmed squares for infinite variance autoregressions

    Journal of Time Series Analysis

    Volume 34, Issue 2, March 2013, Pages: 168–186, Jonathan B. Hill

    Article first published online : 24 OCT 2012, DOI: 10.1111/jtsa.12005

  3. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

    The Journal of Finance

    Volume 65, Issue 2, April 2010, Pages: 603–653, TORBEN G. ANDERSEN and LUCA BENZONI

    Article first published online : 19 MAR 2010, DOI: 10.1111/j.1540-6261.2009.01546.x

  4. Optimal convergence rates in non-parametric regression with fractional time series errors

    Journal of Time Series Analysis

    Volume 34, Issue 1, January 2013, Pages: 30–39, Yuanhua Feng and Jan Beran

    Article first published online : 19 JUL 2012, DOI: 10.1111/j.1467-9892.2012.00811.x

  5. Solutions of Yule-Walker equations for singular AR processes

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 531–538, Weitian Chen, Brian D.O. Anderson, Manfred Deistler and Alexander Filler

    Article first published online : 27 JAN 2011, DOI: 10.1111/j.1467-9892.2010.00711.x

  6. High-frequency sampling of a continuous-time ARMA process

    Journal of Time Series Analysis

    Volume 33, Issue 1, January 2012, Pages: 152–160, Peter J. Brockwell, Vincenzo Ferrazzano and Claudia Klüppelberg

    Article first published online : 16 JUN 2011, DOI: 10.1111/j.1467-9892.2011.00748.x

  7. Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series

    Journal of Time Series Analysis

    Volume 33, Issue 6, November 2012, Pages: 935–953, Tucker McElroy and Agnieszka Jach

    Article first published online : 15 JUL 2012, DOI: 10.1111/j.1467-9892.2012.00808.x

  8. Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection

    Journal of Time Series Analysis

    Volume 28, Issue 2, March 2007, Pages: 274–306, Ana Bianco and Graciela Boente

    Article first published online : 21 SEP 2006, DOI: 10.1111/j.1467-9892.2006.00511.x

  9. Gaussian Semi-parametric Estimation of Fractional Cointegration

    Journal of Time Series Analysis

    Volume 24, Issue 3, May 2003, Pages: 345–378, Carlos Velasco

    Article first published online : 19 MAY 2003, DOI: 10.1111/1467-9892.00311

  10. You have free access to this content
    Ecological inference for 2 × 2 tables (with discussion)

    Journal of the Royal Statistical Society: Series A (Statistics in Society)

    Volume 167, Issue 3, August 2004, Pages: 385–445, Jon Wakefield

    Article first published online : 9 JUN 2005, DOI: 10.1111/j.1467-985x.2004.02046.x

  11. Embedding a Gaussian discrete-time autoregressive moving average process in a Gaussian continuous-time autoregressive moving average process

    Journal of Time Series Analysis

    Volume 28, Issue 4, July 2007, Pages: 498–520, Mituaki Huzii

    Article first published online : 9 NOV 2006, DOI: 10.1111/j.1467-9892.2006.00520.x

  12. Fractional Invariance Principle

    Journal of Time Series Analysis

    Volume 26, Issue 3, May 2005, Pages: 463–486, Yuzo Hosoya

    Article first published online : 13 APR 2005, DOI: 10.1111/j.1467-9892.2004.00411.x

  13. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect

    International Review of Finance

    Volume 14, Issue 3, September 2014, Pages: 345–392, Ke Yang and Langnan Chen

    Article first published online : 10 APR 2014, DOI: 10.1111/irfi.12030

  14. Alleviating linear ecological bias and optimal design with subsample data

    Journal of the Royal Statistical Society: Series A (Statistics in Society)

    Volume 171, Issue 1, January 2008, Pages: 179–202, Adam N. Glynn, Jon Wakefield, Mark S. Handcock and Thomas S. Richardson

    Article first published online : 29 OCT 2007, DOI: 10.1111/j.1467-985X.2007.00511.x

  15. Forecasting with prediction intervals for periodic autoregressive moving average models

    Journal of Time Series Analysis

    Volume 34, Issue 2, March 2013, Pages: 187–193, Paul L. Anderson, Mark M. Meerschaert and Kai Zhang

    Article first published online : 27 SEP 2012, DOI: 10.1111/jtsa.12000

  16. Weak identification in the ESTAR model and a new model

    Journal of Time Series Analysis

    Volume 34, Issue 2, March 2013, Pages: 238–261, Florian Heinen, Stefanie Michael and Philipp Sibbertsen

    Article first published online : 8 NOV 2012, DOI: 10.1111/jtsa.12008

  17. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

    Journal of Time Series Analysis

    Volume 32, Issue 6, November 2011, Pages: 699–723, Christian Francq, Roch Roy and Abdessamad Saidi

    Article first published online : 28 MAR 2011, DOI: 10.1111/j.1467-9892.2011.00728.x

  18. A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue

    Journal of Time Series Analysis

    Volume 28, Issue 3, May 2007, Pages: 307–349, Javier Hidalgo

    Article first published online : 20 SEP 2006, DOI: 10.1111/j.1467-9892.2006.00510.x

  19. You have free access to this content
    Log-optimal economic evaluation of probability forecasts

    Journal of the Royal Statistical Society: Series A (Statistics in Society)

    Volume 175, Issue 3, July 2012, Pages: 661–689, D. J. Johnstone

    Article first published online : 20 JUN 2012, DOI: 10.1111/j.1467-985X.2011.01011.x

  20. Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series

    Journal of Time Series Analysis

    Volume 27, Issue 6, November 2006, Pages: 857–875, Qiwei Yao and Peter J. Brockwell

    Article first published online : 27 JUN 2006, DOI: 10.1111/j.1467-9892.2006.00492.x