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Modelling realized covariance matrices: a class of Hadamard exponential models
Bauwens, Luc; Otranto, Edoardo - 2020
Persistent link: https://www.econbiz.de/10012429316
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LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82
Persistent link: https://www.econbiz.de/10012504449
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Beta-adjusted covariance estimation
Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021
Persistent link: https://www.econbiz.de/10012432948
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Estimating high dimensional multivariate stochastic volatility models
Pelagatti, Matteo; Sbrana, Giacomo - 2020
Persistent link: https://www.econbiz.de/10012318391
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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
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A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322
Persistent link: https://www.econbiz.de/10011818361
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Autoregressive spatial spectral estimates
Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10011974618
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Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...
Persistent link: https://www.econbiz.de/10011900761
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Testing for instability in covariance structures
Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2014
Persistent link: https://www.econbiz.de/10010440730
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168