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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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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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Bayesian inference in a correlated random coefficients model : modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
Li, Mingliang; Tobias, Justin L. - In: Journal of econometrics 162 (2011) 2, pp. 345-361
Persistent link: https://www.econbiz.de/10009270625
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Bayesian semiparametric modeling of realized covariance matrices
Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39
Persistent link: https://www.econbiz.de/10011610652
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Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian; Hartkopf, Jan Patrick - In: Journal of econometrics 235 (2023) 1, pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
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Granger causality in risk and detection of extreme risk spillover between financial markets
Hong, Yongmiao; Liu, Yanhui; Wang, Shouyang - In: Journal of econometrics 150 (2009) 2, pp. 271-287
Persistent link: https://www.econbiz.de/10003858904
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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, … - In: Journal of econometrics 212 (2019) 1, pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802