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Advancing the iid test based on integration across the correlation integral: ranges, competiton, and power

Kočenda, Evžen; Briatka, Lʹuboš - 2004

Persistent link: https://www.econbiz.de/10002494051

Optimal range for the iid test based on integration across the correlation integral

Kočenda, Evžen; Briatka, Ľuboš - In: Econometric reviews 24 (2005) 3, pp. 265-296

Persistent link: https://www.econbiz.de/10003105613

Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis

Yang, Yang; Zhao, Zhao - In: Economic modelling 93 (2020), pp. 728-736

Persistent link: https://www.econbiz.de/10012430347

Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices

Ledoit, Olivier - 2018

numerical: QuEST requires numerical inversion of a complex equation from random matrix theory whereas NERCOME is based on a …

Persistent link: https://www.econbiz.de/10012932617

Advancing the Iid Test Based on Integration Across the Correlation Integral : Ranges, Competition, and Power

Kočenda, Evžen; Briatka, Lubos - 2005

(over which the correlation integral is calculated) are specified. For these ε-ranges new critical values for various …

Persistent link: https://www.econbiz.de/10014061479

Market regime detection via realized covariances

Bucci, Andrea; Ciciretti, Vito - In: Economic modelling 111 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013349063

Generalized autoregressive method of moments

Creal, Drew; Koopman, Siem Jan; Lucas, André; … - 2015

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

Persistent link: https://www.econbiz.de/10011431471

Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

Persistent link: https://www.econbiz.de/10011485602

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Testing for a unit root in a nonlinear quantile autoregression framework

Li, Haiqi; Park, Sung Y. - In: Econometric reviews 37 (2018) 6/10, pp. 867-892

Persistent link: https://www.econbiz.de/10012040418

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