new tests are applicable to densities of arbitrary dimensions and can deal with parameter estimation uncertainty and …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

has considerable forecasting power for U.S. stock returns. In line with the theoretical mechanism, the correlation between …

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …