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Jump to: 2019 | 2018 | 2014 | 2013
Number of items: 7.

2019

Hartl, Tobias and Weigand, Roland (2019) Approximate State Space Modelling of Unobserved Fractional Components. Discussion Paper. (Submitted)

Hartl, Tobias and Weigand, Roland (2019) Multivariate Fractional Components Analysis. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, Working Paper.

2018

Weigand, Roland (2018) Modeling Multivariate Time Series with Fractional Integration in Macroeconomics and Finance. PhD, Universität Regensburg.

2014

Weigand, Roland (2014) Matrix Box-Cox Models for Multivariate Realized Volatility. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 478, Working Paper.

Tschernig, Rolf, Weber, Enzo and Weigand, Roland (2014) Long- versus medium-run identification in fractionally integrated VAR models. Economics Letters 122 (2), pp. 299-302.

2013

Tschernig, Rolf, Weber, Enzo and Weigand, Roland (2013) Long-run Identification in a Fractionally Integrated System. Journal of Business and Economic Statistics 31 (4), pp. 438-450. Fulltext not available.

Tschernig, Rolf, Weber, Enzo and Weigand, Roland (2013) Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 471, Working Paper, University of Regensburg, Regensburg.

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