requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and …

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between … past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and … cross-correlations towards zero and hence could hide true leverage effect. Unlike, the presence of two ormore big …

estimation results from the multivariate Student-t GAS model show that the correlation between unemployment (overall, male …, female, and youth) and inflation is highly significant, indicating that the correlation is dynamic. A dynamic relationship …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …-wise correlations and sets to zero those elements that are not statistically significant, taking account of the multiple testing nature … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …

This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the … multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets … it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …