A persistence‐based Wold‐type decomposition for stationary time series
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DOI: 10.3982/QE994
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Cited by:
- Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
- Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
- Jozef Barunik & Lukas Vacha, 2023. "The Dynamic Persistence of Economic Shocks," Papers 2306.01511, arXiv.org.
- Baruník, Jozef & Vácha, Lukáš, 2024.
"Predicting the volatility of major energy commodity prices: The dynamic persistence model,"
Energy Economics, Elsevier, vol. 140(C).
- Jozef Barunik & Lukas Vacha, 2024. "Predicting the volatility of major energy commodity prices: the dynamic persistence model," Papers 2402.01354, arXiv.org, revised Jul 2024.
- Xue Cui & Lu Yang, 2024. "Systemic risk and idiosyncratic networks among global systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 58-75, January.
- Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021. "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers 21-062/III, Tinbergen Institute.
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