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Generalized Levinson-Durbin and Burg algorithms

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  • Brockwell, P. J.
  • Dahlhaus, R.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-48GF4V8-5/2/8332fe4755e2678130239b7dc48cc982
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 118 (2004)
Issue (Month): 1-2 ()
Pages: 129-149

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Handle: RePEc:eee:econom:v:118:y:2004:i:1-2:p:129-149

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Lux, Thomas, 2008. "The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 194-210, April.
  2. Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff, 2011. "A Markov-switching Multifractal Approach to Forecasting Realized Volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy.
  3. Thomas Lux, 2003. "The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting," Computing in Economics and Finance 2003 14, Society for Computational Economics.
  4. Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  5. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany.
  6. Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
  7. Thomas Lux, 2006. "The Markov-Switching Multi-Fractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility," Working Papers wpn06-09, Warwick Business School, Finance Group.

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