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subject:"Theorie"
isPartOf:"Journal of the Royal Statistical Society"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
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Journal of the Royal Statistical Society
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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419
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406
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292
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1
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
A robust approach to heteroscedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data
Cui, Guowei
;
Hayakawa, Kazuhiko
;
Nagata, Shuichi
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 862-875
Persistent link: https://www.econbiz.de/10014448451
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3
Optimal shrinkage-based portfolio selection in high dimensions
Bodnar, Taras
;
Okhrin, Yarema
;
Parolya, Nestor
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10013540653
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4
The incidental parameters problem in testing for remaining cross-section correlation
Juodis, Artūras
;
Reese, Simon
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1191-1203
Persistent link: https://www.econbiz.de/10013539484
Saved in:
5
Covariance model with general linear structure and divergent parameters
Fan, Xinyan
;
Lan, Wei
;
Zou, Tao
;
Tsai, Chih-Ling
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 36-48
Persistent link: https://www.econbiz.de/10014448670
Saved in:
6
Spatial correlation robust inference in linear regression and panel models
Müller, Ulrich K.
;
Watson, Mark W.
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1050-1064
Persistent link: https://www.econbiz.de/10014448548
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7
Robust covariance matrix estimation for high-dimensional compositional data with application to sales data analysis
Li, Danning
;
Srinivasan, Arun
;
Chen, Qian
;
Xue, Lingzhou
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1090-1100
Persistent link: https://www.econbiz.de/10014448566
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8
Generalized covariance estimator
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1315-1327
Persistent link: https://www.econbiz.de/10014448640
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9
A projective approach to conditional independence test for dependent processes
Zhou, Yeqing
;
Zhang, Yaowu
;
Zhu, Liping
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 398-407
Persistent link: https://www.econbiz.de/10012804124
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10
A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
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11
The locally Gaussian partial correlation
Otneim, Håkon
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 924-936
Persistent link: https://www.econbiz.de/10013534580
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12
Targeting predictors via partial distance correlation with applications to financial forecasting
Yousuf, Kashif
;
Yang, Feng
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1007-1019
Persistent link: https://www.econbiz.de/10013539410
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13
Focused information criterion and model averaging for large panels with a multifactor error structure
Yin, Shou-Yung
;
Liu, Chu-An
;
Lin, Chang-Ching
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 54-68
Persistent link: https://www.econbiz.de/10012424498
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14
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
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15
Bias-corrected common correlated effects pooled estimation in dynamic panels
Vos, Ignace de
;
Everaert, Gerdie
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 294-306
Persistent link: https://www.econbiz.de/10012424521
Saved in:
16
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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17
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
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18
Inference in approximately sparse correlated random effects probit models with panel data
Wooldridge, Jeffrey M.
;
Zhu, Ying
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012179412
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19
Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 68-79
Persistent link: https://www.econbiz.de/10012179513
Saved in:
20
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
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21
Estimating and testing nonlinear local dependence between two time series
Lacal, Virginia
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 648-660
Persistent link: https://www.econbiz.de/10012179003
Saved in:
22
Covariance matrix estimation via network structure
Lan, Wei
;
Fang, Zheng
;
Wang, Hansheng
;
Tsai, Chih-Ling
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 359-369
Persistent link: https://www.econbiz.de/10011895079
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23
Root-N consistent estimation of a panel data binary response model with unknown correlated random effects
Chen, Songnian
;
Si, Jichun
;
Zhang, Hanghui
;
Zhou, Yahong
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
4
,
pp. 559-571
Persistent link: https://www.econbiz.de/10011893790
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24
Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
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25
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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26
Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data
Fan, Jianqing
;
Furger, Alex
;
Xiu, Dacheng
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 489-503
Persistent link: https://www.econbiz.de/10011692389
Saved in:
27
Default correlations and large-portfolio credit analysis
Duan, Jin-Chuan
;
Miao, Weimin
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 536-546
Persistent link: https://www.econbiz.de/10011692400
Saved in:
28
Testing instantaneous causality in presence of nonconstant unconditional covariance
Gianetto, Quentin Giai
;
Rai͏̈ssi, Hamdi
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 46-53
Persistent link: https://www.econbiz.de/10011389673
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29
Testing the diagonality of a large covariance matrix in a regression setting
Lan, Wei
;
Luo, Ronghua
;
Tsai, Chih-Ling
;
Wang, Hansheng
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 76-86
Persistent link: https://www.econbiz.de/10011389730
Saved in:
30
Principal volatility component analysis
Hu, Yu-Pin
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
2
,
pp. 153-177
Persistent link: https://www.econbiz.de/10010410764
Saved in:
31
Asymptotic theory for the QMLE in GARCH-X models with stationary and nonstationary covariates
Han, Heejoon
;
Kristensen, Dennis
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
3
,
pp. 416-429
Persistent link: https://www.econbiz.de/10010488481
Saved in:
32
Uniform inference in predictive regression models
Chen, Willa W.
;
Deo, Rohit S.
;
Yi, Yanping
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 525-533
Persistent link: https://www.econbiz.de/10010337853
Saved in:
33
Dynamic conditional correlation : on properties and estimation
Aielli, Gian Piero
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 282-299
Persistent link: https://www.econbiz.de/10009786001
Saved in:
34
Nonparametric estimation of labor supply and demand factors
Okumura, Tsunao
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 174-185
Persistent link: https://www.econbiz.de/10009159090
Saved in:
35
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
Saved in:
36
The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection
Galeano, Pedro
;
Ausín, M. Concepción
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 559-571
Persistent link: https://www.econbiz.de/10008736138
Saved in:
37
t-statistic based correlation and heterogeneity robust inference
Ibragimov, Rustam Ju.
;
Müller, Ulrich K.
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 453-468
Persistent link: https://www.econbiz.de/10008736161
Saved in:
38
Inference in nearly nonstationary SVAR models with long-run identifying restrictions
Gospodinov, Nikolaj
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10003992783
Saved in:
39
Instrumental variables estimation with flexible distributions
Hansen, Christian Bailey
;
McDonald, James B.
;
Newey, …
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
1
,
pp. 13-25
Persistent link: https://www.econbiz.de/10003992787
Saved in:
40
Sequential causal models for the evaluation of labor market programs
Lechner, Michael
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
1
,
pp. 71-83
Persistent link: https://www.econbiz.de/10003805428
Saved in:
41
Information in the revision process of real-time datasets
Corradi, Valentina
;
Fernández, Andrés
;
Swanson, Norman R.
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 455-467
Persistent link: https://www.econbiz.de/10003913382
Saved in:
42
Forecasting with judgment
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 553-563
Persistent link: https://www.econbiz.de/10003913446
Saved in:
43
On the specification of propensity scores, with applications to the analysis of trade policies
Millimet, Daniel L.
;
Tchernis, Rusty
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
3
,
pp. 397-415
Persistent link: https://www.econbiz.de/10003893885
Saved in:
44
Estimation with many instrumental variables
Hansen, Christian Bailey
;
Hausman, Jerry A.
;
Newey, …
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 398-422
Persistent link: https://www.econbiz.de/10003772265
Saved in:
45
Nonparametric estimation of conditional CDF and quantile functions with mixed categorical and continuous data
Li, Qi
;
Racine, Jeffrey
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 423-434
Persistent link: https://www.econbiz.de/10003772273
Saved in:
46
Dynamic treatment assignment : the consequences for evaluations using observational data
Fredriksson, Peter
;
Johansson, Per-Olov
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 435-445
Persistent link: https://www.econbiz.de/10003772281
Saved in:
47
Semiparametric analysis with grouped dependent variables and application to physicians' provision of charity care
Das, Mitali
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 446-459
Persistent link: https://www.econbiz.de/10003772282
Saved in:
48
The sensitivity of productivity estimates : revisiting three important debates
Van Biesebroeck, Johannes
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
3
,
pp. 311-328
Persistent link: https://www.econbiz.de/10003754175
Saved in:
49
A new class of multivariate skew densities, with application to generalized autoregressive conditionalheteroscedasticity models
Bauwens, Luc
;
Laurent, Sébastien
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
3
,
pp. 346-354
Persistent link: https://www.econbiz.de/10003013029
Saved in:
50
Semiparametric duration models
Drost, Feike C.
;
Werker, Bas J. M.
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
1
,
pp. 40-50
Persistent link: https://www.econbiz.de/10001891415
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