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An omnibus noise filter

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  • Claudio Morana

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    File URL: http://hdl.handle.net/10.1007/s00180-008-0139-3
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    Bibliographic Info

    Article provided by Springer in its journal Computational Statistics.

    Volume (Year): 24 (2009)
    Issue (Month): 3 (August)
    Pages: 459-479

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    Handle: RePEc:spr:compst:v:24:y:2009:i:3:p:459-479

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    Web page: http://www.springerlink.com/link.asp?id=120306

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    Related research

    Keywords: Signal–noise decomposition; Long memory; Structural breaks; Flexible least squares; Exchange rates volatility; C32;

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    References

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    1. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "An Organizing Principle for Dynamic Estimation," Staff General Research Papers 11194, Iowa State University, Department of Economics.
    2. D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series /2001/420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    4. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Time-Varying Linear Regression Via Flexible Least Squares," Staff General Research Papers 11196, Iowa State University, Department of Economics.
    5. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    6. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    7. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    8. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers 11190, Iowa State University, Department of Economics.
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