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Copula structured M4 processes with application to high-frequency financial data
Zhang, Zhengjun; Zhu, Bin - In: Journal of econometrics 194 (2016) 2, pp. 231-241
Persistent link: https://www.econbiz.de/10011705118
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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo; Di Mari, Roberto - In: Journal of econometrics 221 (2021) 1, pp. 118-137
Persistent link: https://www.econbiz.de/10012618804
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Nonstationary panel models with latent group structures and cross-section dependence
Huang, Wenxin; Jin, Sainan; Phillips, Peter C. B.; Su, … - In: Journal of econometrics 221 (2021) 1, pp. 198-222
Persistent link: https://www.econbiz.de/10012618820
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Impulse response analysis in nonlinear multivariate models
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. - In: Journal of econometrics 74 (1996) 1, pp. 119-147
Persistent link: https://www.econbiz.de/10001755367
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Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495
Persistent link: https://www.econbiz.de/10012482817