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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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Properties and estimation of asymmetric exponential power distribution
Zhu, Dongming; Zinde-Walsh, Victoria - In: Journal of econometrics 148 (2009) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10003813144
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
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Nonstationarity in time series of state densities
Chang, Yoosoon; Kim, Chang Sik; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 152-167
Persistent link: https://www.econbiz.de/10011617129
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Generalized spectral testing for multivariate continuous-time models
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 164 (2011) 2, pp. 268-293
Persistent link: https://www.econbiz.de/10009301912
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A unified approach to validating univariate and multivariate conditional distribution models in time series
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 178 (2014) 1, pp. 22-44
Persistent link: https://www.econbiz.de/10010254990
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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CRPS learning
Berrisch, Jonathan; Ziel, Florian - In: Journal of econometrics 237 (2023) 2,3, pp. 1-24
Persistent link: https://www.econbiz.de/10014471798
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12
Persistent link: https://www.econbiz.de/10014471818