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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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Bayesian nonparametric vector autoregressive models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 203 (2018) 2, pp. 267-282
Persistent link: https://www.econbiz.de/10011974694
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Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.; Oomen, Roel C. A. - In: Journal of econometrics 160 (2011) 1, pp. 58-68
Persistent link: https://www.econbiz.de/10009242550
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Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.; Oomen, Roel C.A. - In: Journal of econometrics 160 (2011) 1, pp. 58-69
Persistent link: https://www.econbiz.de/10008770554