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Business cycle analysis with multivariate Markov switching models
Anas, Jacques; Billio, Monica; Ferrara, Laurent; Lo … - In: Growth and cycle in the Euro-zone, (pp. 249-260). 2006
Persistent link: https://www.econbiz.de/10003412214
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A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428263
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An inflated Multivariate Integer Count Hurdle model : an application to bid and ask quote dynamics
Korycka-Bień, Katarzyna (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003449949
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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154
Persistent link: https://www.econbiz.de/10003376080
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Business cycle analysis with multivariate Markov switching models
Anas, Jacques; Billio, Monica; Ferrara, Laurent; Lo … - 2007
Persistent link: https://www.econbiz.de/10003912305
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On some properties of Autoregressive Conditional Poisson (ACP) models
Ghahramani, M.; Thavaneswaran, A. - In: Economics letters 105 (2009) 3, pp. 273-275
Persistent link: https://www.econbiz.de/10003931072
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2010
Persistent link: https://www.econbiz.de/10003978514
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Fitting high-dimensional copulae to data
Okhrin, Ostap - 2010
This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory …
Persistent link: https://www.econbiz.de/10003953039
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On multivariate runs tests for randomness
Paindaveine, Davy - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1525-1538
Persistent link: https://www.econbiz.de/10003993023
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Introductory econometrics for finance
Brooks, Chris - 2008 - 2. ed.
Persistent link: https://www.econbiz.de/10003679796