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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Dynamic clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-18
Persistent link: https://www.econbiz.de/10014471521
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Determination of vector error correction models in high dimensions
Liang, Chong; Schienle, Melanie - In: Journal of econometrics 208 (2019) 2, pp. 418-441
Persistent link: https://www.econbiz.de/10012145046
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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - In: Journal of econometrics 212 (2019) 1, pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
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Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben; Archakov, Ilya; Cebiroglu, Gökhan; … - In: Journal of econometrics 230 (2022) 2, pp. 510-534
Persistent link: https://www.econbiz.de/10013464102