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Robust online scale estimation in time series : regression-free approach
Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007
This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time...
Persistent link: https://www.econbiz.de/10010298200
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The predictive power of the business and bank sentiment of firms : a high-dimensional Granger causality approach
Wilms, Ines; Gelper, Sarah; Croux, Christophe - In: European journal of operational research : EJOR 254 (2016) 1, pp. 138-147
Persistent link: https://www.econbiz.de/10011503231
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Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter; Croux, Christophe - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
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Forecasting using sparse cointegration
Wilms, Ines; Croux, Christophe - In: International journal of forecasting 32 (2016) 4, pp. 1256-1267
Persistent link: https://www.econbiz.de/10011622146
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The predictive power of the business and bank sentiment of firms : a high-dimensional Granger Causality approach
Wilms, I.; Gelper, Sarah; Croux, Christophe - 2015
Persistent link: https://www.econbiz.de/10011646403
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An algorithm for the multivariate group lasso with covariance estimation
Wilms, I.; Croux, Christophe - 2015
Persistent link: https://www.econbiz.de/10011658494
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Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach
Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017
Persistent link: https://www.econbiz.de/10011799030
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Forecasting using robust exponential smoothing with damped trend and seasonal components
Crevits, Ruben; Croux, Christophe - 2017
Persistent link: https://www.econbiz.de/10011799035
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Robust estimation of linear state space models
Crevits, Ruben; Croux, Christophe - 2017
Persistent link: https://www.econbiz.de/10011799036
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Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter; Croux, Christophe - In: Journal of econometric methods 7 (2018) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10011945885