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A robust procedure to build dynamic factor models with cluster structure
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel - In: Journal of econometrics 216 (2020) 1, pp. 35-52
Persistent link: https://www.econbiz.de/10012439635
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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Non-causality in bivariate binary time series
Mosconi, Rocco; Seri, Raffaello - In: Journal of econometrics 132 (2006) 2, pp. 379-407
Persistent link: https://www.econbiz.de/10003348760
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Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
Seo, Byeongseon - In: Journal of econometrics 137 (2007) 1, pp. 68-111
Persistent link: https://www.econbiz.de/10003425505
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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154
Persistent link: https://www.econbiz.de/10003376080
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Multivariate locationscale mixtures of normals and meanvarianceskewness portfolio allocation
Mencía, Javier; Sentana, Enrique - In: Journal of econometrics 153 (2009) 2, pp. 105-121
Persistent link: https://www.econbiz.de/10003920279
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The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian; Jasiak, Joann; Sufana, Razvan - In: Journal of econometrics 150 (2009) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
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Bias in estimating multivariate and univariate diffusions
Wang, Xiaohu; Phillips, Peter C. B.; Yu, Jun - In: Journal of econometrics 161 (2011) 2, pp. 228-245
Persistent link: https://www.econbiz.de/10009242147
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Generalized spectral testing for multivariate continuous-time models
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 164 (2011) 2, pp. 268-293
Persistent link: https://www.econbiz.de/10009301912
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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10009702319