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Testing for constant correlation of filtered series under structural change
Demetrescu, Matei; Wied, Dominik - In: The econometrics journal 22 (2019) 1, pp. 10-33
Persistent link: https://www.econbiz.de/10012166648
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
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Bootstrapping autoregression under non-stationary volatility
Xu, Ke-li - In: The econometrics journal 11 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003648596
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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The wild bootstrap for few (treated) clusters
MacKinnon, James G.; Webb, Matthew - In: The econometrics journal 21 (2018) 2, pp. 114-135
Persistent link: https://www.econbiz.de/10012166605
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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82
Persistent link: https://www.econbiz.de/10012504449
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Quantile-based smooth transition value at risk estimation
Hubner, Stefan; Čížek, Pavel - In: The econometrics journal 22 (2019) 3, pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
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Distinguishing short and long memory volatility specifications
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen - In: The econometrics journal 11 (2008) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10003802446
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461
Persistent link: https://www.econbiz.de/10012620715