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A blocking and regularization approach to high-dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C. A. - In: Journal of applied econometrics 27 (2012) 4, pp. 625-645
Persistent link: https://www.econbiz.de/10009618510
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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Identification and forecasting of bull and bear markets using multivariate returns
Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745
Persistent link: https://www.econbiz.de/10015156772
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Panel probit with flexible correlated effects : quantifying technology spillovers in the presence of latent heterogeneity
Burda, Martin; Harding, Matthew C. - In: Journal of applied econometrics 28 (2013) 6, pp. 956-981
Persistent link: https://www.econbiz.de/10010351089
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A regularization approach to common correlated effects estimation
Juodis, Artūras - In: Journal of applied econometrics 37 (2022) 4, pp. 788-810
Persistent link: https://www.econbiz.de/10013332722
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Small-sample confidence intervals for multivariate impulse response functions at long horizons
Pesavento, Elena; Rossi, Barbara - In: Journal of applied econometrics 21 (2006) 8, pp. 1135-1155
Persistent link: https://www.econbiz.de/10003406258
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The global component of inflation volatility
Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
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Nonlinear granger causality : guidelines for multivariate analysis
Diks, Cees G. H.; Wolski, Marcin - In: Journal of applied econometrics 31 (2016) 7, pp. 1333-1351
Persistent link: https://www.econbiz.de/10011687494
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Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - In: Journal of applied econometrics 37 (2022) 7, pp. 1356-1378
Persistent link: https://www.econbiz.de/10013473983
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Modeling and forecasting large realized covariance matrices and portfolio choice
Callot, Laurent A. F.; Kock, Anders Bredahl; Medeiros, … - In: Journal of applied econometrics 32 (2017) 1, pp. 140-158
Persistent link: https://www.econbiz.de/10011688494