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Semiparametric tail index regression

Li, Rui; Leng, Chenlei; You, Jinhong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 82-95

Persistent link: https://www.econbiz.de/10012804089

Semiparametric estimation of a censored regression model subject to nonparametric sample selection

Pan, Zhewen; Zhou, Xianbo; Zhou, YaHong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 141-151

Persistent link: https://www.econbiz.de/10012804094

Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...

Persistent link: https://www.econbiz.de/10012547429

An inverse norm sign test of location parameter for high-dimensional data

Feng, Long; Liu, Binghui; Ma, Yanyuan - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 807-815

Persistent link: https://www.econbiz.de/10012587984

Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Pai Xu - In: Econometric reviews 40 (2021) 10, pp. 944-982

Persistent link: https://www.econbiz.de/10012624567

Estimation and testing for high- dimensional near unit root time series

Zhang, Bo; Gao, Jiti; Pan, Guangming - 2020

Persistent link: https://www.econbiz.de/10012606951

A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation

Hwang, Eunju; Hong, Wontack - In: Economics letters 203 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012607334

Misclassification-robust semiparametric estimation of single-index binary-choice models

Čížek, Pavel; Sadıkoğlu, S. - In: The econometrics journal 25 (2022) 2, pp. 433-454

Persistent link: https://www.econbiz.de/10013253843

Operational risk models and asymptotic normality of maximum likelihood estimation

Larsen, Paul - In: The journal of operational risk 11 (2016) 4, pp. 55-78

Persistent link: https://www.econbiz.de/10013177178

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

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