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A study on window-size selection for threshold and bootstrap value-at-risk models
Smith, Anri; Huang, Chun-Kai - In: The journal of risk model validation 13 (2019) 4, pp. 1-16
Persistent link: https://www.econbiz.de/10012373140
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Measuring the US NAIRU as a step function
Yamada, Hiroshi; Yoon, Gawon - In: Empirical economics : a journal of the Institute for … 51 (2016) 4, pp. 1679-1688
Persistent link: https://www.econbiz.de/10011661896
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Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick; Horváth, Lajos; Kokoszka, Piotr; … - In: The econometrics journal 20 (2017) 1, pp. 86-117
Persistent link: https://www.econbiz.de/10011719969