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Estimating time-varying networks for high-dimensional time series

Chen, Jia; Li, Degui; Li, Yuning; Linton, Oliver - 2022 - Version: December 13, 2022

Persistent link: https://www.econbiz.de/10013503856

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

Measuring correlations of integrated but not cointegrated variables : a semiparametric approach

Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267

Persistent link: https://www.econbiz.de/10009301926

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Identification and estimation in a correlated random coefficients binary response model

Hoderlein, Stefan; Sherman, Robert - 2012

We study identification and estimation in a binary response model with random coefficients B allowed to be correlated … leads to an analogous localize-then-average approach to estimation. We estimate conditional means with localized smooth …

Persistent link: https://www.econbiz.de/10009728916

Nonparametric correlation models for portfolio allocation

Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283

Persistent link: https://www.econbiz.de/10009760686

Instrumental variables estimation of a generalized correlated random coefficients model

Masten, Matthew; Torgovitsky, Alexander - 2014

We study identification and estimation of the average treatment effect in a correlated random coefficients model that …

Persistent link: https://www.econbiz.de/10010227690

Identification and estimation of nonseparable single-index models in panel data with correlated random effects

Čížek, Pavel; Lei, Jinghua - 2013

Persistent link: https://www.econbiz.de/10010228796

On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337

Persistent link: https://www.econbiz.de/10010202113

Testing error serial correlation in fixed effects nonparametric panel data models

Green, Carl; Long, Wei; Hsiao, Cheng - In: Journal of econometrics 188 (2015) 2, pp. 466-473

Persistent link: https://www.econbiz.de/10011503631

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