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t-statistic based correlation and heterogeneity robust inference
Ibragimov, Rustam Ju.; Müller, Ulrich K. - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 453-468
Persistent link: https://www.econbiz.de/10008736161
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Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
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Testing instantaneous causality in presence of nonconstant unconditional covariance
Gianetto, Quentin Giai; Rai͏̈ssi, Hamdi - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 46-53
Persistent link: https://www.econbiz.de/10011389673
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A projective approach to conditional independence test for dependent processes
Zhou, Yeqing; Zhang, Yaowu; Zhu, Liping - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 398-407
Persistent link: https://www.econbiz.de/10012804124
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Reiß, Markus; Winkelmann, Lars - 2021
We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...
Persistent link: https://www.econbiz.de/10012655380
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012250452
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Estimating and testing nonlinear local dependence between two time series
Lacal, Virginia; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 648-660
Persistent link: https://www.econbiz.de/10012179003
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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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Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
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A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784
Persistent link: https://www.econbiz.de/10013534498