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Backtesting parametric value-at-risk with estimation risk
Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51
Persistent link: https://www.econbiz.de/10003992793
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Identification and estimation of structural VARMA models using higher order dynamics
Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 819-832
Persistent link: https://www.econbiz.de/10014448441
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Fractional cointegration rank estimation
Łasak, Katarzyna; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 241-254
Persistent link: https://www.econbiz.de/10011390032
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Long memory in stock-market trading volume
Lobato, Ignacio N.; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 410-427
Persistent link: https://www.econbiz.de/10001521494
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Long Memory in Stock-Market Trading Volume
Lobato, Ignacio N.; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 410-427
Persistent link: https://www.econbiz.de/10008217603
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LM tests for joint breaks in the dynamics and level of a long-memory time series
Dolado, Juan J.; Rachinger, Heiko; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 629-650
Persistent link: https://www.econbiz.de/10013534032