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Quantilograms under strong dependence
Lee, Ji Hyung; Linton, Oliver; Whang, Yoon-jae - In: Econometric theory 36 (2020) 3, pp. 457-487
Persistent link: https://www.econbiz.de/10012240727
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Signal extraction in long memory stochastic volatility
Arteche, Josu - In: Econometric theory 31 (2015) 6, pp. 1382-1402
Persistent link: https://www.econbiz.de/10011545560
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Characterization of the tail behavior of a class of BEKK processes : a stochastic recurrence equation approach
Matsui, Muneya; Pedersen, Rasmus Søndergaard - In: Econometric theory 38 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013166113
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Generalized laplace inference in multiple change-points models
Casini, Alessandro; Perron, Pierre - In: Econometric theory 38 (2022) 1, pp. 35-65
Persistent link: https://www.econbiz.de/10013166116
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Detecting financial data dependence structure by averaging mixture copulas
Liu, Guannan; Long, Wei; Zhang, Xinyu; Li, Qi - In: Econometric theory 35 (2019) 4, pp. 777-815
Persistent link: https://www.econbiz.de/10012386828
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Weak convergence to stochastic integrals for econometric applications
Liang, Hanying; Phillips, Peter C. B.; Wang, Hanchao; … - In: Econometric theory 32 (2016) 6, pp. 1349-1375
Persistent link: https://www.econbiz.de/10011661978
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A flexible nonparametric test for conditional independence
Huang, Meng; Sun, Yixiao; White, Halbert - In: Econometric theory 32 (2016) 6, pp. 1434-1482
Persistent link: https://www.econbiz.de/10011661982
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A smoothing method that looks like the Hodrick-Prescott filter
Yamada, Hiroshi - In: Econometric theory 36 (2020) 5, pp. 961-981
Persistent link: https://www.econbiz.de/10012307246
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Goodness-of-fit tests for multivariate copula-based time series models
Berghaus, Betina; Bücher, Axel - In: Econometric theory 33 (2017) 2, pp. 292-330
Persistent link: https://www.econbiz.de/10011665334
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Detecting for smooth structural changes in GARCH models
Chen, Bin; Hong, Yongmiao - In: Econometric theory 32 (2016) 3, pp. 740-791
Persistent link: https://www.econbiz.de/10011606827