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Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management
Pesaran, M. Hashem; Zaffaroni, Paolo - 2005
Persistent link: https://www.econbiz.de/10003224850
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Detection of units with pervasive effects in large panel data models
Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
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The factor analytical approach in near unit root interactive effects panels
Norkutė, Milda; Westerlund, Joakim - In: Journal of econometrics 221 (2021) 2, pp. 569-590
Persistent link: https://www.econbiz.de/10012619250
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The local power of the CADF and CIPS panel unit root tests
Westerlund, Joakim; Hosseinkouchack, Mehdi; Solberger, … - In: Econometric reviews 35 (2016) 5/7, pp. 845-870
Persistent link: https://www.econbiz.de/10011589920
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Estimation of factor-augmented panel regressions with weakly influential factors
Reese, Simon; Westerlund, Joakim - In: Econometric reviews 37 (2018) 1/5, pp. 401-465
Persistent link: https://www.econbiz.de/10012039354
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A factor analytical approach to price discovery
Westerlund, Joakim; Reese, Simon; Narayan, Paresh Kumar - In: Oxford bulletin of economics and statistics 79 (2017) 3, pp. 366-394
Persistent link: https://www.econbiz.de/10011771993