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Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Davidson, James E. H. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 16-29
Persistent link: https://www.econbiz.de/10001891395
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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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Testing the diagonality of a large covariance matrix in a regression setting
Lan, Wei; Luo, Ronghua; Tsai, Chih-Ling; Wang, Hansheng; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10011389730
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A formalization of seasonal encompassing with an application to a German macromodel
Beyer, Andreas - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 315-323
Persistent link: https://www.econbiz.de/10001603251
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Cointegration and threshold adjustment
Enders, Walter; Siklos, Pierre L. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 166-176
Persistent link: https://www.econbiz.de/10001568815
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Detecting structural differences in tail dependence of financial time series
Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
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A unified approach to estimating and testing income distributions with grouped data
Chen, Yi-ting - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 438-455
Persistent link: https://www.econbiz.de/10012249172
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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A nonparametric test for granger causality in distribution with application to financial contagion
Candelon, Bertrand; Tokpavi, Sessi - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 240-253
Persistent link: https://www.econbiz.de/10011691324
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350