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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
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Testing for structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345
Persistent link: https://www.econbiz.de/10012145023
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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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Local/import - and foreign currency prices : inflation, uncertainty and pass through endogeneity
Herwartz, Helmut; Roestel, Jan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10011897540
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Monetary independence under floating exchange rates : evidence based on international breakeven inflation rates
Herwartz, Helmut; Roestel, Jan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009514157
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco; Nientker, Marc - In: Journal of econometrics 235 (2023) 2, pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
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Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
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A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 171-192
Persistent link: https://www.econbiz.de/10012657681