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Factor-adjusted regularized model selection

Fan, Jianqing; Ke, Yuan; Wang, Kaizheng - In: Journal of econometrics 216 (2020) 1, pp. 71-85

Persistent link: https://www.econbiz.de/10012439637

Optimal time interval selection in long-run correlation estimation

Albuquerque, Pedro H. - In: Journal of quantitative economics 18 (2020) 1, pp. 53-79

Persistent link: https://www.econbiz.de/10012418795

Testing against changing correlation

Harvey, Andrew C.; Thiele, Stephen - In: Journal of empirical finance 38 (2016), pp. 575-589

Persistent link: https://www.econbiz.de/10011663373

Asymptotic variance of Brier (skill) score in the presence of serial correlation

Lahiri, Kajal; Yang, Liu - In: Economics letters 141 (2016), pp. 125-129

Persistent link: https://www.econbiz.de/10011616210

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …

Persistent link: https://www.econbiz.de/10012243279

Mahalanobis distances on factor model based estimation

Dai, Deliang - In: Econometrics : open access journal 8 (2020) 1/10, pp. 1-11

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...

Persistent link: https://www.econbiz.de/10012265396

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012250452

An IV test for a unit root in generally trending and correlated panels

Westerlund, Joakim - In: Oxford bulletin of economics and statistics 78 (2016) 5, pp. 752-764

Persistent link: https://www.econbiz.de/10011579106

A simulation comparison of aggregation periods for estimating correlations within operational loss data

Panman, K.; Haasbroek, L. J.; Pieters, W. D. - In: The journal of operational risk 11 (2016) 2, pp. 69-86

Persistent link: https://www.econbiz.de/10011600244

Fractional integration and fat tails for realized covariance kernels

Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90

Persistent link: https://www.econbiz.de/10012054426