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Testing the diagonality of a large covariance matrix in a regression setting
Lan, Wei; Luo, Ronghua; Tsai, Chih-Ling; Wang, Hansheng; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10011389730
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Semiparametric conditional quantile estimation through copula-based multivariate models
Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 167-178
Persistent link: https://www.econbiz.de/10011390008
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Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
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Choosing prior hyperparameters : with applications to time-varying parameter models
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 124-136
Persistent link: https://www.econbiz.de/10012179528
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Mixed marginal copula modeling
Gunawan, David; Khaled, Mohamad A.; Kohn, Robert - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 137-147
Persistent link: https://www.econbiz.de/10012179532
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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Modeling multivariate volatilities via latent common factors
Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573
Persistent link: https://www.econbiz.de/10011692411
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Markov chain Monte Carlo analysis of correlated count data
Chib, Siddhartha; Winkelmann, Rainer - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 428-435
Persistent link: https://www.econbiz.de/10001646360
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco; Trojani, Fabio - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 138-149
Persistent link: https://www.econbiz.de/10009159099
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Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009159106