Multivariate Time Series Analysis and Its Applications
暂无分享,去创建一个
[1] Helmut Ltkepohl,et al. New Introduction to Multiple Time Series Analysis , 2007 .
[2] Guyonne Kalb,et al. Bayesian Arbitrage Threshold Analysis , 1999 .
[3] R. Tsay. Testing and modeling multivariate threshold models , 1998 .
[4] Peter R. Locke,et al. Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash , 1996 .
[5] K. Kroner,et al. Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets , 1995, Journal of Financial and Quantitative Analysis.
[6] G. C. Tiao,et al. Usefulness of linear transformations in multivariate time-series analysis , 1993 .
[7] Gregory C. Reinsel,et al. VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING , 1992 .
[8] G. C. Tiao,et al. Asymptotic properties of multivariate nonstationary processes with applications to autoregressions , 1990 .
[9] G. C. Tiao,et al. Model Specification in Multivariate Time Series , 1989 .
[10] J. Stock,et al. Testing for Common Trends , 1988 .
[11] John H. Cochrane,et al. How Big Is the Random Walk in GNP? , 1988, Journal of Political Economy.
[12] S. Johansen. STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .
[13] C. Granger,et al. Co-integration and error correction: representation, estimation and testing , 1987 .
[14] G. C. Tiao,et al. Modeling Multiple Time Series with Applications , 1981 .
[15] A. I. McLeod,et al. Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models , 1981 .
[16] J. R. M. Hosking,et al. Lagrange‐Multiplier Tests of Multivariate Time‐Series Models , 1981 .
[17] J. R. M. Hosking,et al. The Multivariate Portmanteau Statistic , 1980 .
[18] Steven C. Hillmer,et al. Likelihood Function of Stationary Multiple Autoregressive Moving Average Models , 1979 .
[19] B. G. Quinn,et al. The determination of the order of an autoregression , 1979 .
[20] G. C. Tiao,et al. A canonical analysis of multiple time series , 1977 .