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The three-pass regression filter : a new approach to forecasting using many predictors
Kelly, Bryan T.; Pruitt, Seth - In: Journal of econometrics 186 (2015) 2, pp. 294-316
Persistent link: https://www.econbiz.de/10011349476
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Forecasting simultaneously high-dimensional time series : a robust model-based clustering approach
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; … - In: Journal of forecasting 32 (2013) 8, pp. 673-684
Persistent link: https://www.econbiz.de/10010344465
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Forecasting commodity prices returns : the role of partial least squares approach
Wen, Chufu; Zhu, Haoyang; Dai, Zhifeng - In: Energy economics 125 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014478814
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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Evaluating measures of dependence for linearly generated nonlinear time series along with spurious correlation
Agiakloglou, Christos N.; Bera, Anil K.; Deligiannakis, … - In: Journal of economics and finance : JEF 46 (2022) 3, pp. 535-552
Persistent link: https://www.econbiz.de/10013442210
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A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note
Maeshiro, Asatoshi - In: Applied economics 31 (1999) 3, pp. 381-396
Persistent link: https://www.econbiz.de/10001364531
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The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Lawford, Steve; Stamatogiannis, Michalis P. - In: Journal of econometrics 148 (2009) 2, pp. 124-130
Persistent link: https://www.econbiz.de/10003833748
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Fractional integration and cointegration in financial time series
Stakėnas, Paulius - 2013
Persistent link: https://www.econbiz.de/10009713163