Narrow search
Showing 1 - 10 of 19,948
Cover Image
Factor-based forecasting in the presende of outliers : are factors better selected and estimated by the median than by the mean?
Kristensen, Johannes Tang - 2012
Persistent link: https://www.econbiz.de/10009546012
Cover Image
Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations
Boudt, Kris (contributor); Croux, Christophe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003624500
Cover Image
Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model
Cubadda, Gianluca - 2018
We examine the conditions under which each individual series that is generated by a vector autoregressive model can be represented as an autoregressive model that is augmented with the lags of few linear combinations of all the variables in the system. We call this modelling Multivariate...
Persistent link: https://www.econbiz.de/10012934712
Cover Image
Representation, estimation and forecasting of the multivariate index-augmented autoregressive model
Cubadda, Gianluca; Guardabascio, Barbara - In: International journal of forecasting 35 (2019) 1, pp. 67-79
Persistent link: https://www.econbiz.de/10012300575
Cover Image
A scoring rule for factor and autoregressive models under misspecification
Casarin, Roberto; Corradin, Fausto; Ravazzolo, Francesco; … - 2018
Persistent link: https://www.econbiz.de/10011956868
Cover Image
Dynamic factor models for multivariate count data : an application to stock-market trading activity
Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 73-85
Persistent link: https://www.econbiz.de/10009159117
Cover Image
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
Cover Image
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu; Matsuda, Yasumasa - 2023
Persistent link: https://www.econbiz.de/10014310363
Cover Image
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Cover Image
Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary; Potter, Simon M. - In: The econometrics journal 4 (2001) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10001612280