Narrow search
Showing 1 - 10 of 12
Cover Image
A robust procedure to build dynamic factor models with cluster structure
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel - In: Journal of econometrics 216 (2020) 1, pp. 35-52
Persistent link: https://www.econbiz.de/10012439635
Cover Image
Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
Cover Image
A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
Cover Image
A nonlinear autoregressive conditional duration model with applications to financial transaction data
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179
Persistent link: https://www.econbiz.de/10006774037
Cover Image
High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
Cover Image
Introduction of the annals issue : statistical learning for dependent data : a celebration of the 85th birthday of Professor George C. Tiao
Chen, Rong; Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10012439633
Cover Image
Annals issue in honor of George Tiao : statistical learning for dependent data
Chen, Rong (ed.); Tsay, Ruey S. (ed.);  … - 2020
Persistent link: https://www.econbiz.de/10012439725
Cover Image
Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61
Persistent link: https://www.econbiz.de/10013441913
Cover Image
Forecasting with nonstationary dynamic factor models
Peña, Daniel; Poncela, Pilar - In: Journal of econometrics 119 (2004) 2, pp. 291-322
Persistent link: https://www.econbiz.de/10006757705
Cover Image
Missing observations in ARIMA models: Skipping approach versus additive outlier approach
Gomez, Victor; Maravall, Agustin; Peña, Daniel - In: Journal of econometrics 88 (1999) 2, pp. 341-364
Persistent link: https://www.econbiz.de/10006786616