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Simultaneous multiple change-point and factor analysis for high-dimensional time series
Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr - In: Journal of econometrics 206 (2018) 1, pp. 187-225
Persistent link: https://www.econbiz.de/10012110376
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Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
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Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
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Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 207 (2018) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
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A comparative assessment of alternative ex ante measures of inflation uncertainty
Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren - In: International journal of forecasting 33 (2017) 1, pp. 75-89
Persistent link: https://www.econbiz.de/10011754686
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Innovations in multiple time series analysis
Breitung, Jörg; Herwartz, Helmut - In: Journal of econometrics 192 (2016) 2, pp. 329-331
Persistent link: https://www.econbiz.de/10011704644
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Inequality in human capital and endogenous credit constraints
Hai, Rong; Heckman, James J. - In: Review of economic dynamics 25 (2017), pp. 4-36
Persistent link: https://www.econbiz.de/10011893676
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Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
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Asymptotic inference about predictive accuracy using high frequency data
Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240
Persistent link: https://www.econbiz.de/10011974659