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On the finite-sample performance of measure transportation-based multivariate rank tests
Hallin, Marc; Mordant, Gilles - 2021
Persistent link: https://www.econbiz.de/10012698528
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The integrated copula spectrum
Goto, Yuichi; Kley, Tobias; Van Hecke, Ria; Volgushev, … - 2021
Persistent link: https://www.econbiz.de/10012698536
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Overcoming weak identification in the estimation of household resource shares
Tommasi, Denni; Wolf, Alexander - 2016
Persistent link: https://www.econbiz.de/10011672364
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Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo; Hallin, Marc - 2015
Persistent link: https://www.econbiz.de/10011289224
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - 2014
Persistent link: https://www.econbiz.de/10010483698
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Identification of global and national shocks in international financial markets via general dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2017
Persistent link: https://www.econbiz.de/10011673310
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
Persistent link: https://www.econbiz.de/10012064799
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - 2018
Persistent link: https://www.econbiz.de/10012064840
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Networks, dynamic factors, and the volatility analysis of high-dimensional financial series
Barigozzi, Matteo; Hallin, Marc - 2015
Persistent link: https://www.econbiz.de/10011622692
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The dynamic, the static, and the weak factor models and the analysis of high-dimensional time series
Barigozzi, Matteo; Hallin, Marc - 2024
Persistent link: https://www.econbiz.de/10015050256