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High-dimensional dynamic covariance matrices with homogeneous structure
Ke, Yuan; Lian, Heng; Zhang, Wenyang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 96-110
Persistent link: https://www.econbiz.de/10012804090
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Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906
Persistent link: https://www.econbiz.de/10012653200
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Implications of return predictability for consumption dynamics and asset pricing
Favero, Carlo A.; Ortu, Fulvio; Tamoni, Andrea; Yang, Haoxi - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 527-541
Persistent link: https://www.econbiz.de/10012262492
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Heterogeneity in expectations, risk tolerance, and household stock shares : the attenuation puzzle
Ameriks, John; Kézdi, Gábor; Lee, Minjoon; Shapiro, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 633-646
Persistent link: https://www.econbiz.de/10012262501
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Moment component analysis : an illustration with international stock markets
Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598
Persistent link: https://www.econbiz.de/10012249215
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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
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Multiple regression model averaging and the focused information criterion with an application to portfolio choice
Klimenka, Filip; Wolter, James Lewis - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 506-516
Persistent link: https://www.econbiz.de/10012178192
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Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 573-585
Persistent link: https://www.econbiz.de/10012178998
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Understanding the risk-return relation : the aggregate wealth proxy actually matters
Cederburg, Scott; O'Doherty, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 721-735
Persistent link: https://www.econbiz.de/10012179374