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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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Misspecified structural change, threshold, and Markov-switching models
Carrasco, Marine - In: Journal of econometrics 109 (2002) 2, pp. 239-273
Persistent link: https://www.econbiz.de/10001689014
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The power of tests of predictive ability in the presence of structural breaks
Clark, Todd E.; McCracken, Michael W. - In: Journal of econometrics 124 (2005) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10002439348
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ArCo : an artificial counterfactual approach for high-dimensional panel time-series data
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - In: Journal of econometrics 207 (2018) 2, pp. 352-380
Persistent link: https://www.econbiz.de/10012116360
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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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Quality control for structural credit risk models
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 146 (2008) 2, pp. 364-375
Persistent link: https://www.econbiz.de/10003783002
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Testing for structural change in regression quantiles
Qu, Zhongjun - In: Journal of econometrics 146 (2008) 1, pp. 170-184
Persistent link: https://www.econbiz.de/10003778281
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Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
Kim, Dukpa; Perron, Pierre - In: Journal of econometrics 149 (2009) 1, pp. 26-51
Persistent link: https://www.econbiz.de/10003833721
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Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
Caner, Mehmet - In: Journal of econometrics 137 (2007) 1, pp. 28-67
Persistent link: https://www.econbiz.de/10003425500
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Selection of estimation window in the presence of breaks
Pesaran, M. Hashem; Timmermann, Allan - In: Journal of econometrics 137 (2007) 1, pp. 134-161
Persistent link: https://www.econbiz.de/10003425523