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Instrumental variable and variable addition based inference in predictive regressions
Breitung, Jörg; Demetrescu, Matei - In: Journal of econometrics 187 (2015) 1, pp. 358-375
Persistent link: https://www.econbiz.de/10011499478
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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - In: Journal of econometrics 193 (2016) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10011704806
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Stationary vine copula models for multivariate time series
Nagler, Thomas; Krüger, Daniel; Min, Aleksey - In: Journal of econometrics 227 (2022) 2, pp. 305-324
Persistent link: https://www.econbiz.de/10013441987
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285
Persistent link: https://www.econbiz.de/10010256161
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The estimation of misspecified long memory models
Robinson, Peter M. - In: Journal of econometrics 178 (2014) 1, pp. 225-230
Persistent link: https://www.econbiz.de/10010256170
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The aggregation of dynamic relationships caused by incomplete information
Thornton, Michael A. - In: Journal of econometrics 178 (2014) 1, pp. 342-351
Persistent link: https://www.econbiz.de/10010256845
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Higher-order improvements of the sieve bootstrap for fractionally integrated processes
Poskitt, Donald Stephen; Grose, Simone D.; Martin, Gael M. - In: Journal of econometrics 188 (2015) 1, pp. 94-110
Persistent link: https://www.econbiz.de/10011500263
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522