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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
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Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele; Billio, Monica; Casarin, Roberto; … - In: Journal of econometrics 210 (2019) 1, pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
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Bayesian nonparametric sparse VAR models
Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115
Persistent link: https://www.econbiz.de/10012303895
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Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; … - In: Journal of econometrics 235 (2023) 1, pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
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Markov switching panel with endogenous synchronization effects
Agudze, Komla M.; Billio, Monica; Casarin, Roberto; … - In: Journal of econometrics 230 (2022) 2, pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
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Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - In: Journal of econometrics 224 (2021) 1, pp. 161-180
Persistent link: https://www.econbiz.de/10013275368