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Quantile coherency : a general measure for dependence between cyclical economic variables
Baruník, Jozef; Kley, Tobias - In: The econometrics journal 22 (2019) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10012166706
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Quantile-based smooth transition value at risk estimation
Hubner, Stefan; Čížek, Pavel - In: The econometrics journal 22 (2019) 3, pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
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Testing for changes in (extreme) VaR
Hoga, Yannick - In: The econometrics journal 20 (2017) 1, pp. 23-51
Persistent link: https://www.econbiz.de/10011719962
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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
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Residuals-based tests for cointegration with generalized least-squares detrended data
Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111
Persistent link: https://www.econbiz.de/10011487613
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A sequential test for the specification of predictive densities
Lin, Juan; Wu, Ximing - In: The econometrics journal 20 (2017) 2, pp. 190-220
Persistent link: https://www.econbiz.de/10011757383
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Point-optimal panel unit root tests with serially correlated errors
Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: The econometrics journal 17 (2014) 3, pp. 338-372
Persistent link: https://www.econbiz.de/10010498715
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Common breaks in time trends for large panel data with a factor structure
Kim, Dukpa - In: The econometrics journal 17 (2014) 3, pp. 301-337
Persistent link: https://www.econbiz.de/10010498717