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A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
Smallwood, Aaron D. - In: Econometric reviews 35 (2016) 5/7, pp. 986-1012
Persistent link: https://www.econbiz.de/10011590992
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A fractionally integrated Wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
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Approximate state space modelling of unobserved fractional components
Hartl, Tobias; Jucknewitz, Roland - In: Econometric reviews 41 (2022) 1, pp. 75-98
Persistent link: https://www.econbiz.de/10013167584
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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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Modeling and forecasting realized covariance matrices with accounting for leverage
Anatolyev, Stanislav; Kobotaev, Nikita - In: Econometric reviews 37 (2018) 1/5, pp. 114-139
Persistent link: https://www.econbiz.de/10012038156
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A multivariate volatility vine copula model
Brechmann, E. C.; Heiden, M.; Okhrin, Y. - In: Econometric reviews 37 (2018) 1/5, pp. 281-308
Persistent link: https://www.econbiz.de/10012038690
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Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576
Persistent link: https://www.econbiz.de/10012039397
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Heterogeneous credit union production technologies with endogenous switching and correlated effects
Malikov, Emir; Restrepo-Tobón, Diego A.; Kumbhakar, Subal - In: Econometric reviews 37 (2018) 6/10, pp. 1095-1119
Persistent link: https://www.econbiz.de/10012040539
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Common correlated effects estimation of dynamic panels with cross-sectional dependence
Everaert, Gerdie; De Groote, Tom - In: Econometric reviews 35 (2016) 1/4, pp. 428-463
Persistent link: https://www.econbiz.de/10011550021
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Testing for serial correlation in fixed-effects panel data models
Born, Benjamin; Breitung, Jörg - In: Econometric reviews 35 (2016) 5/7, pp. 1290-1316
Persistent link: https://www.econbiz.de/10011591304