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Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis
Hallin, Marc; Dette, Holger; Kley, Tobias; Volgushev, … - European Centre for Advanced Research in Economics and … - 2011
. We define a “new” spectrum as the Fourier transform of the differences between copulas of the pairs (Yt, Yt−k) and the …
Persistent link: https://www.econbiz.de/10009370568
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Quantile Spectral Analysis for Locally Stationary Time Series
Hallin, Marc; Skowronek, Stefan; Volgushev, Stanislav; … - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010826308
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Quantile Spectral Processes: Asymptotic Analysis and Inference
Hallin, Marc; Kley, Tobias; Volgushev, Stanislav; … - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010826336
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Quantile spectral analysis for locally stationary time series
Birr, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2015
Persistent link: https://www.econbiz.de/10011622344
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Quantile spectral analysis for locally stationary time series
Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014
Persistent link: https://www.econbiz.de/10010347305
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Quantile spectral analysis for locally stationary time series
Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014
Persistent link: https://www.econbiz.de/10010376928
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Quantile spectral processes : asymptotic analysis and inference
Kley, Tobias; Volgushev, Stanislav; Dette, Holger; … - 2014
Persistent link: https://www.econbiz.de/10010378433