Extracting a common stochastic trend: Theory with some applications

Author:

Chang Yoosoon,Isaac Miller J.,Park Joon Y.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference32 articles.

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2. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Anderson;International Economic Review,1998

3. Anderson, T.G., Bollerslev, T., Diebold, F.X., Ebens, H., 2000. The distribution of stock return volatility. Working Paper 7933, NBER Working Paper Series

4. Optimal Filtering;Anderson,1979

5. Bauwens, L., Deprins, D., Vandeuren, J.-P., 1997. Modelling interest rates with a cointegrated VAR-GARCH model. Discussion Paper 9780, CORE

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