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High dimensional covariance matrix estimation using a factor model
Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of econometrics 147 (2008) 1, pp. 186-197
Persistent link: https://www.econbiz.de/10003783799
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A note on S2 in a spatially correlated error components regression model for panel data
Song, Seuck-heun; Lee, Jaejun - In: Economics letters 101 (2008) 1, pp. 41-43
Persistent link: https://www.econbiz.de/10003787455
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Portfolio selection with common correlation mixture models
Haas, Markus; Mittnik, Stefan - In: Risk assessment : decisions in banking and finance, (pp. 47-76). 2008
Persistent link: https://www.econbiz.de/10003781608
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Covariance matrix estimation
De Santis, Giorgio (contributor) - In: Modern investment management : an equilibrium approach, (pp. 224-248). 2003
Persistent link: https://www.econbiz.de/10002112186
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The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
Li, Jing - In: Economics letters 91 (2006) 1, pp. 76-82
Persistent link: https://www.econbiz.de/10003315108
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Functional form and spatial dependence in dynamic panels
Yang, Zhenlin; Li, Chenwei; Tse, Yiu Kuen - In: Economics letters 91 (2006) 1, pp. 138-145
Persistent link: https://www.econbiz.de/10003315129
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Testing dependence among serially correlated multi-category variables
Pesaran, M. Hashem (contributor);  … - 2006
maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using …
Persistent link: https://www.econbiz.de/10003344606
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Semiparametric normal transformation models for spatially correlated survival data
Li, Yi; Lin, Xihong - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 591-603
Persistent link: https://www.econbiz.de/10003334634
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On the correlation matriox of the discrete fourier transform and the fast solution of large toeplitz systems for long-memory time series
Chen, Willa W.; Hurvich, Clifford M.; Lu, Yi - In: Journal of the American Statistical Association : JASA 101 (2006) 474, pp. 812-822
Persistent link: https://www.econbiz.de/10003334776
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Efficient and exact tests of the rate ratio in a correlated 2 x 2 table with structural zero
Lloyd, Christopher J. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003336936