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Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
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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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Portmanteau-type tests for unit-root and cointegration
Zhang, Rongmao; Chan, Ngai Hang - In: Journal of econometrics 207 (2018) 2, pp. 307-324
Persistent link: https://www.econbiz.de/10012116354
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Testing for independence between functional time series
Horváth, Lajos; Rice, Gregory - In: Journal of econometrics 189 (2015) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10011504560
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Extreme canonical correlations and high-dimensional cointegration analysis
Onatski, Alexei; Wang, Chen - In: Journal of econometrics 212 (2019) 1, pp. 307-322
Persistent link: https://www.econbiz.de/10012303946
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Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
Lin, Yingqian; Tu, Yundong - In: Journal of econometrics 219 (2020) 1, pp. 52-65
Persistent link: https://www.econbiz.de/10012483188
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Nonlinear regressions with nonstationary time series
Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195
Persistent link: https://www.econbiz.de/10011339876
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Copula-based time series with filtered nonstationarity
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - In: Journal of econometrics 228 (2022) 1, pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
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Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Wang, Fa - In: Journal of econometrics 229 (2022) 1, pp. 180-200
Persistent link: https://www.econbiz.de/10013441851
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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232
Persistent link: https://www.econbiz.de/10010433385