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Brooks, Chris Hunter, John Godfrey, L. G. Persand, Gita Dimitropoulou, Dimitra McCann, Philip McAleer, Michael Hunter, John Canepa, Alessandra Stanescu, Silvia Heravi, Saeed M. Tremayne, Andrew R. All co-authors models zeitreihenanalyse schätztheorie series criteria model information time non data stationary cointegration kointegration tests market multivariate nested conditional selection unit root set definition approach sample price variance garch using einheitswurzeltest economic common competitive behaviour portfolio lag analysis prices single
Composed time series analysis estimation theory time series information criteria unit root arch modell arch model market definition non nested conditional variance variance models root tests statistische methodenlehre statistical theory unit root test non stationary model selection arbitrage pricing arbitrage market definition monitoring monitoring time series approach modelling non stationary economic economic time finite sample selecting non nested conditional models information criteria portfolio portfolio determination garch model exchange rate multivariate analyse multivariate analysis nichtstationäre zeitreihenanalyse common trends trends cointegration cointegration competitive competitive price price behaviour investment uk series multivariate multivariate approach criteria garch garch models forecasting exchange rate volatility volatility using using conditional models selected selected information small sample selection information information criterion data dependent dependent selection selection lag lag truncation truncation parameter tests phillips lag polynomials common trend long run weakly exogenous different orders orders integration guidance vast vast literature literature facing facing students students graduate graduate economists stochastic trend simulations criteria weak exogeneity stochastic process
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Simon P. Burke Alternative spellings: Simon Burke S. P. Burke Biblio: Tätig an der University of Reading
Profession Economist
Publishing years Series Discussion papers in quantitative economics and computing / E (12) Economics and finance working paper series (2) Palgrave Texts in Econometrics (1) Palgrave Texts in Econometrics Ser (1) Palgrave texts in econometrics (1) Working papers in quantitative economics and econometrics (1) Working papers in economics and econometrics (1) 
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