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Essays on partial identification in econometrics and finance

Galichon, Alfred - 2007

Persistent link: https://www.econbiz.de/10009691355

Quantile spectral processes : asymptotic analysis and inference

Kley, Tobias; Volgushev, Stanislav; Dette, Holger; … - 2014

Persistent link: https://www.econbiz.de/10010378433

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014471479

A survey of dependency modelling: copulas, tail dependence and estimation

Kiesel, Rüdiger; Schmidt, Rafael - In: Structured credit products : pricing, rating, risk …, (pp. 3-34). 2004

Persistent link: https://www.econbiz.de/10003283016

Smooth tests of copula specifications

Lin, Juan; Wu, Ximing - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 128-143

Persistent link: https://www.econbiz.de/10011389984

Extremal dependence-based specification testing of time series

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1274-1287

Persistent link: https://www.econbiz.de/10014448632

Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets

Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 705-731

Persistent link: https://www.econbiz.de/10014506866

Exponentially tilted likelihood inference on growing dimensional unconditional moment models

Tang, Niansheng; Yan, Xiaodong; Zhao, Puying - In: Journal of econometrics 202 (2018) 1, pp. 57-74

Persistent link: https://www.econbiz.de/10011974553

Three essays on model selection in time series econometrics : model averaging, causal graphs, and structural identification

Aka, Niels Mariano - 2021

Persistent link: https://www.econbiz.de/10013175078

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2011

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10014047091