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Vector autoregressive models with structural changes in regression coefficients and in variance-covariance matrices
Bai, Jushan - In: Annals of economics and finance 1 (2000) 2, pp. 301-336
Persistent link: https://www.econbiz.de/10001731852
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Extremum estimation when the predictors are estimated from large panels
Bai, Jushan; Ng, Serena - In: Annals of economics and finance 9 (2008) 2, pp. 201-222
Persistent link: https://www.econbiz.de/10003796412
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Estimating high dimensional covariance matrices and its applications
Bai, Jushan; Shi, Shuzhong - In: Annals of economics and finance 12 (2011) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10009425025