Parameter identification in ARMA processes in the presence of regular but incomplete sampling
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References listed on IDEAS
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Cited by:
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LIDAM Discussion Papers CORE
2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
- MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004.
"Using intra annual information to forecast the annual state deficits : the case of France,"
LIDAM Discussion Papers CORE
2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Laurent Moulin & Matteo Sala & Andrea Silvestrini & David Veredas, 2008. "Using intra annual information to forecast the annual state deficit. The case of France," ULB Institutional Repository 2013/136217, ULB -- Universite Libre de Bruxelles.
- Sbrana, Giacomo & Silvestrini, Andrea, 2013.
"Aggregation of exponential smoothing processes with an application to portfolio risk evaluation,"
Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
- SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," LIDAM Discussion Papers CORE 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Giacomo Sbrana & Andrea Silvestrini, 2012. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Post-Print hal-00779483, HAL.
- Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
- van der Ploeg, F. & de Zeeuw, A.J., 1992. "A differential game of international pollution control," Other publications TiSEM 63432fbc-f558-422b-93d9-4, Tilburg University, School of Economics and Management.
- Bekaert, Geert, 1996.
"The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective,"
The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 427-470.
- Geert Bekaert, 1994. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," NBER Working Papers 4818, National Bureau of Economic Research, Inc.
- Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
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