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Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 152-168
Persistent link: https://www.econbiz.de/10012804095
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Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation
Ni, Xuanming; Qian, Long; Zhao, Huimin; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805046
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A new statistic to capture the level dependence in stock price volatility
Padmakumari, Lakshmi; Maheswaran, S. - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 355-362
Persistent link: https://www.econbiz.de/10011792503
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Shrinkage Estimation of the Varying Coefficient Model
Wang, Hansheng - 2008
the shrinkage estimation (Tibshirani, 1996, LASSO). The new method can do nonparametric estimation and variable selection …
Persistent link: https://www.econbiz.de/10012722538
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Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - 2019
Persistent link: https://www.econbiz.de/10012703138
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Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
Persistent link: https://www.econbiz.de/10012583496
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Semiparametric estimation in continuous-time : asymptotics for integrated volatility functionals with small and large bandwidths
Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 793-806
Persistent link: https://www.econbiz.de/10012587983
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Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian; Koop, Gary; Onorante, Luca - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
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An extended exponential SEMIFAR model with application in R
Letmathe, Sebastian; Beran, Jan; Feng, Yuanhua - 2021
Persistent link: https://www.econbiz.de/10012628648