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Combining related and sparse data in linear regression models
Vanhonacker, Wilfried R. - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 3, pp. 327-335
Persistent link: https://www.econbiz.de/10001089540
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Sparse and stable portfolio selection with parameter uncertainty
Li, Jiahan - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 381-392
Persistent link: https://www.econbiz.de/10011390391
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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
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A testing procedure for determining the number of factors in approximate factor models with large datasets
Kapetanios, George - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 397-409
Persistent link: https://www.econbiz.de/10008736170
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Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
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Alternative variance-ratio tests using ranks and signs
Wright, Jonathan H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001441577
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Realized variance and market microstructure noise
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
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Forecast error variance decompositions with local projections
Gorodnichenko, Yuriy; Lee, Byoungchan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 921-933
Persistent link: https://www.econbiz.de/10012313379
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
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Detection of multiple structural breaks in large covariance matrices
Li, Yu-Ning; Li, Degui; Fryzlewicz, Piotr - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 846-861
Persistent link: https://www.econbiz.de/10014448448