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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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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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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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Multivariate autoregression of order one with infinite variance innovations
Zarepour, Mahmoud; Roknossadati, S. M. - In: Econometric theory 24 (2008) 3, pp. 677-695
Persistent link: https://www.econbiz.de/10003894283
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Multivariate ecogarch processes
Haug, Stephan; Stelzer, Robert - In: Econometric theory 27 (2011) 2, pp. 344-371
Persistent link: https://www.econbiz.de/10009310772
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QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 28 (2012) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
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On the relation between the vec and BEKK multivariate GARCH models
Stelzer, Robert - In: Econometric theory 24 (2008) 4, pp. 1131-1136
Persistent link: https://www.econbiz.de/10003736871