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Covariance estimation for multivariate conditionally Gaussian dynamic linear models
Triantafyllopoulos, K. - In: Journal of forecasting 26 (2007) 8, pp. 551-569
Persistent link: https://www.econbiz.de/10003608120
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Effect of cross correlations in error terms on the model selection criteria for the stationary VAR process
Kose, Nezir; Ucar, Nuri - In: Applied economics letters 13 (2006) 4, pp. 223-228
Persistent link: https://www.econbiz.de/10003382400
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On the estimation of correlations for irregularly spaced time series
Andersson, Jonas (contributor) - 2007
Persistent link: https://www.econbiz.de/10003498134
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Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.; Kane-Janus, Couro - In: Interest rate models, asset allocation and quantitative …, (pp. 325-336). 2010
Persistent link: https://www.econbiz.de/10003940954
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Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud; Shephard, Neil G. - 2012
Persistent link: https://www.econbiz.de/10009579335
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Robust inference on parameters via particle filters and sandwich covariance matrices
Doucet, Arnaud; Shephard, Neil G. - 2012
Persistent link: https://www.econbiz.de/10009579539
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Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
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Testing for a change in correlation at an unknown point in time using an extended functional delta method
Wied, Dominik; Krämer, Walter; Dehling, Herold - In: Econometric theory 28 (2012) 3, pp. 570-589
Persistent link: https://www.econbiz.de/10009545827
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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267
Persistent link: https://www.econbiz.de/10009301926
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Testing stationarity in small- and medium-sized samples when disturbances are serially correlated
Jönsson, Kristian - In: Oxford bulletin of economics and statistics 73 (2011) 5, pp. 669-690
Persistent link: https://www.econbiz.de/10009308826