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An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
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Macroeconomic forecasting and structural analysis through regularized reduced-rank regression
Bernardini, Emmanuela; Cubadda, Gianluca - In: International journal of forecasting 31 (2015) 3, pp. 682-691
Persistent link: https://www.econbiz.de/10011474523
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Reducing the state space dimension in a large TVP-VAR
Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
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Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 68-79
Persistent link: https://www.econbiz.de/10012179513
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Vector autoregressive moving average identification for macroeconomic modeling : a new methodology
Poskitt, Donald Stephen - In: Journal of econometrics 192 (2016) 2, pp. 468-484
Persistent link: https://www.econbiz.de/10011704730
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Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Journal of econometrics 239 (2024) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10015073960
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Kernel estimation of hazard functions when observations have dependent and common covariates
Wolter, James Lewis - In: Journal of econometrics 193 (2016) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10011704746
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The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …
Persistent link: https://www.econbiz.de/10009767620
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Deriving correlation matrices for missing financial time-series data
Burger, Schalk; Silverman, Searle; Van Vuuren, Gary - In: International journal of economics and finance 10 (2018) 10, pp. 105-120
Persistent link: https://www.econbiz.de/10011944933
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Phillips curve is a particular case that economists misinterpret the correlation between two dependent variables for causal relation
Ting, Chao Chiung - In: International journal of economics and finance 10 (2018) 11, pp. 70-94
Persistent link: https://www.econbiz.de/10011949482