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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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Time-varying model averaging
Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992
Persistent link: https://www.econbiz.de/10012619810
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Model averaging based on leave-subject-out cross-validation
Gao, Yan; Zhang, Xinyu; Wang, Shouyang; Zou, Guohua - In: Journal of econometrics 192 (2016) 1, pp. 139-151
Persistent link: https://www.econbiz.de/10011616012
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Threshold autoregressive models for interval-valued time series data
Sun, Yuying; Han, Ai; Hong, Yongmiao; Wang, Shouyang - In: Journal of econometrics 206 (2018) 2, pp. 414-446
Persistent link: https://www.econbiz.de/10012110403
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Penalized time-varying model averaging
Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu - In: Journal of econometrics 235 (2023) 2, pp. 1355-1377
Persistent link: https://www.econbiz.de/10014471396
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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/10008253321
Cover Image
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. 271-288
Persistent link: https://www.econbiz.de/10008890753
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Estimation of copula-based semiparametric time series models
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335
Persistent link: https://www.econbiz.de/10003277967
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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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Nonparametric inference for counterfactual means : bias-correction, confidence sets, and weak IV
Fan, Yanqin; Park, Sang Soo - In: Journal of econometrics 178 (2014) 1, pp. 45-56
Persistent link: https://www.econbiz.de/10010254988