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High-dimensional penalized arch processes
Poignard, Benjamin; Fermanian, Jean-David - In: Econometric reviews 40 (2021) 1, pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
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Testing for co-nonlinearity
Hungnes, Håvard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 339-353
Persistent link: https://www.econbiz.de/10011339430
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Dimension reduction for high dimensional vector autoregressive models
Cubadda, Gianluca; Hecq, Alain W. J. - 2022
Persistent link: https://www.econbiz.de/10013257768
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The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca; Mazzali, Marco - 2023
Persistent link: https://www.econbiz.de/10014248988
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The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca; Mazzali, Marco - In: The econometrics journal 27 (2024) 1, pp. 126-150
Persistent link: https://www.econbiz.de/10014528100
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High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice
Uematsu, Yoshimasa; Tanaka, Shinya - In: The econometrics journal 22 (2019) 1, pp. 34-56
Persistent link: https://www.econbiz.de/10012166649
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Additive modeling of realized variance : tests for parametric specifications and structural breaks
Fengler, Matthias R.; Mammen, Enno; Vogt, Michael - 2013
Persistent link: https://www.econbiz.de/10010244914
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Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
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Probabilistic time series forecasting with boosted additive models : an application to smart meter data
Ben Taieb, Souhaib; Huser, Raphael; Hyndman, Rob J.; … - 2015
Persistent link: https://www.econbiz.de/10011781252