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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Statistical inference for testing inequality indices with dependent samples
Zheng, Buhong; Cushing, Brian J. - In: Journal of econometrics 101 (2001) 2, pp. 315-335
Persistent link: https://www.econbiz.de/10001554902
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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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Estimating stable latent factor models by indirect inference
Calzolari, Giorgio; Halbleib, Roxana - In: Journal of econometrics 205 (2018) 1, pp. 280-301
Persistent link: https://www.econbiz.de/10012110265
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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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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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Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
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Generalized aggregation of misspecified models : with an application to asset pricing
Gospodinov, Nikolaj; Maasoumi, Esfandiar - In: Journal of econometrics 222 (2021) 1,2, pp. 451-467
Persistent link: https://www.econbiz.de/10012619705
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Tuning parameter-free nonparametric density estimation from tabulated summary data
Lee, Ji Hyung; Sasaki, Yuya; Akira Toda, Alexis; Wang, … - In: Journal of econometrics 238 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10015073814