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Locally stationary factor models : identification and nonparametric estimation
Motta, Giovanni; Hafner, Christian M.; Sachs, Rainer von - In: Econometric theory 27 (2011) 6, pp. 1279-1319
Persistent link: https://www.econbiz.de/10009489713
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Asymptotic theory for a factor GARCH model
Hafner, Christian M.; Preminger, Arie - In: Econometric theory 25 (2009) 2, pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
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Semiparametric multivarite volatility models
Hafner, Christian M.; Rombouts, Jeroen V. K. - In: Econometric theory 23 (2007) 2, pp. 251-280
Persistent link: https://www.econbiz.de/10003429716
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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - In: Econometric theory 33 (2017) 3, pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
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An almost closed form estimator for the EGARCH model
Hafner, Christian M.; Linton, Oliver - In: Econometric theory 33 (2017) 4, pp. 1013-1038
Persistent link: https://www.econbiz.de/10011810237
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Regression quantiles for time series
Cai, Zongwu - In: Econometric theory 18 (2002) 1, pp. 169-192
Persistent link: https://www.econbiz.de/10001652640
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Nonparametric estimation of additive nonlinear ARX time series : local linear fitting and projections
Cai, Zongwu; Masry, Elias - In: Econometric theory 16 (2000) 4, pp. 465-501
Persistent link: https://www.econbiz.de/10001517328
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Semiparametric functional coefficient models with integrated covariates
Sun, Yiguo; Cai, Zongwu; Li, Qi - In: Econometric theory 29 (2013) 3, pp. 659-672
Persistent link: https://www.econbiz.de/10009778490
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Nonparametric estimation of varying coefficient dynamic panel data models
Cai, Zongwu; Li, Qi - In: Econometric theory 24 (2008) 5, pp. 1321-1342
Persistent link: https://www.econbiz.de/10003748775
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Testing instability in a predictive regression model with nonstationary regressors
Cai, Zongwu; Wang, Yunfei; Wang, Yonggang - In: Econometric theory 31 (2015) 5, pp. 953-980
Persistent link: https://www.econbiz.de/10011545495