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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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A test for Kronecker Product Structure covariance matrix
Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Journal of econometrics 233 (2023) 1, pp. 88-112
Persistent link: https://www.econbiz.de/10014340952
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Autoregressive spatial spectral estimates
Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10011974618
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Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
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Bayesian estimation of cluster covariance matrices of unknown form
Creal, Drew; Kim, Jaeho - In: Journal of econometrics 241 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015075138
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.; Mykland, Per A. - In: Journal of econometrics 200 (2017) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
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Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung - In: Journal of econometrics 227 (2022) 1, pp. 264-284
Persistent link: https://www.econbiz.de/10013441656