Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach
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- George Hondroyiannis & Sophia Lazaretou, 2007.
"Inflation persistence during periods of structural change: an assessment using Greek data,"
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"Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan,"
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More about this item
KeywordsApplied time series analysis; economic time series; Box-Jenkins modelling; variance non-stationarity; conditional variance; outlier analysis; efficient market hypothesis.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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