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A note on wavelet correlation and cointegration

Fernández Macho, Francisco Javier - 2013

Persistent link: https://www.econbiz.de/10010417860

Covariance estimation using high-frequency data: Sensitivities of estimation methods

Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425

Persistent link: https://www.econbiz.de/10010503037

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

Lahiri, Kajal; Yang, Liu - 2015

applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …

Persistent link: https://www.econbiz.de/10010503468

QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation

Sin, Chor-yiu - In: Annals of financial economics 9 (2014) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10010489087

Canonical correlation analysis : macroeconomic variables versus stock returns

Mazuruse, Peter - In: Journal of financial economic policy 6 (2014) 2, pp. 179-196

Persistent link: https://www.econbiz.de/10010490604

A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232

Persistent link: https://www.econbiz.de/10010433385

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10009388782

Multivariate GARCH models with correlation clustering

So, Mike K. P.; Yip, Iris W. H. - In: Journal of forecasting 31 (2012) 5, pp. 443-468

Persistent link: https://www.econbiz.de/10009582107

A note on penalized spline smoothing with correlated errors

Krivobokova, Tatyana; Kauermann, Göran - In: Journal of the American Statistical Association : JASA 102 (2007) 480, pp. 1328-1337

Persistent link: https://www.econbiz.de/10003625955

On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices

Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267

Persistent link: https://www.econbiz.de/10011498510

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