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Multivariate AR systems and mixed frequency data : G-identifiability and estimation
Anderson, Brian D. O.; Deistler, Manfred; Felsenstein, … - In: Econometric theory 32 (2016) 4, pp. 793-826
Persistent link: https://www.econbiz.de/10011644205
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Goodness-of-fit tests for multivariate copula-based time series models
Berghaus, Betina; Bücher, Axel - In: Econometric theory 33 (2017) 2, pp. 292-330
Persistent link: https://www.econbiz.de/10011665334
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Asymptotic theory for spectral density estimates of general multivariate time series
Wu, Wei Biao; Zaffaroni, Paolo - In: Econometric theory 34 (2018) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011950919
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On the functional estimation of multivariate diffusion processes
Bandi, Federico M.; Moloche, Guillermo - In: Econometric theory 34 (2018) 4, pp. 896-946
Persistent link: https://www.econbiz.de/10011951437
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The asymptotic distribution of the cointegration rank estimator under the Akaike information criterion
Kapetanios, George - In: Econometric theory 20 (2004) 4, pp. 735-742
Persistent link: https://www.econbiz.de/10002163092
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Bivariate ARCH models : finite-sample properties of QML estimators and an application to an LM-type test
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric theory 21 (2005) 6, pp. 1058-1086
Persistent link: https://www.econbiz.de/10003193549
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A Monte Carlo study on the selection of cointegrating rank using information criteria
Wang, Zijun; Bessler, David A. - In: Econometric theory 21 (2005) 3, pp. 593-620
Persistent link: https://www.econbiz.de/10002794775
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Semiparametric multivarite volatility models
Hafner, Christian M.; Rombouts, Jeroen V. K. - In: Econometric theory 23 (2007) 2, pp. 251-280
Persistent link: https://www.econbiz.de/10003429716
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Asymptotic theory for a factor GARCH model
Hafner, Christian M.; Preminger, Arie - In: Econometric theory 25 (2009) 2, pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
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Adaptive LASSO-type estimation for multivariate diffusion processes
De Gregorio, Alessandro; Iacus, Stefano Maria - In: Econometric theory 28 (2012) 4, pp. 838-860
Persistent link: https://www.econbiz.de/10009669733