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The composite marginal likelihood (CML) inference approach
Bhat, Chandra R. - 2014
Persistent link: https://www.econbiz.de/10010423780
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Gaussian inference in AR(1) time series with or without a unit root
Phillips, Peter C. B. (contributor); Han, Chirok (contributor) - 2006
Persistent link: https://www.econbiz.de/10003468431
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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Coherent probabilistic forecasts for hierarchical time series
Ben Taieb, Souhaib; Taylor, James W.; Hyndman, Rob J. - 2017
Persistent link: https://www.econbiz.de/10011781966
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On the tail probabilities of aggregated lognormal random fields with small noise
Liu, Xiaoou; Liu, Jingchen; Xu, Gongjun - In: Mathematics of operations research 41 (2016) 1, pp. 236-246
Persistent link: https://www.econbiz.de/10011448360
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An entropy divergence, D-distribution and its selected application in multivariate financial time series
Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148
Persistent link: https://www.econbiz.de/10012940016
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Is empirical granularity high enough to cause aggregate fluctuations? : the closeness to Gaussian
Arata, Yoshiyuki - 2022
Persistent link: https://www.econbiz.de/10014432033
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Bootstrap multi-step forecasts of non-Gaussian VAR models
Fresoli, Diego; Ruiz, Esther; Pascual, Lorenzo - In: International journal of forecasting 31 (2015) 3, pp. 834-848
Persistent link: https://www.econbiz.de/10011474590
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Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 224 (2021) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10013275376