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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, … - In: Journal of econometrics 212 (2019) 1, pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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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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Volatility contagion : a range-based volatility approach
Chiang, Min-Hsien; Wang, Li-min - In: Journal of econometrics 165 (2011) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10009409692
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Identifying causal effects in experiments with spillovers and non-compliance
DiTraglia, Francis J.; García Jimeno, Camilo; … - In: Journal of econometrics 235 (2023) 2, pp. 1589-1624
Persistent link: https://www.econbiz.de/10014471417
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Granger causality in risk and detection of extreme risk spillover between financial markets
Hong, Yongmiao; Liu, Yanhui; Wang, Shouyang - In: Journal of econometrics 150 (2009) 2, pp. 271-287
Persistent link: https://www.econbiz.de/10003858904
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Identification and estimation of spillover effects in randomized experiments
Vazquez-Bare, Gonzalo - In: Journal of econometrics 237 (2023) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10014471486
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Vector copulas
Fan, Yanqin; Henry, Marc - In: Journal of econometrics 234 (2023) 1, pp. 128-150
Persistent link: https://www.econbiz.de/10014364686
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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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Knowledge spillovers in US patents : a dynamic patent intensity model with secret common innovation factors
Blazsek, Szabolcs; Escribano, Álvaro - In: Journal of econometrics 159 (2010) 1, pp. 14-32
Persistent link: https://www.econbiz.de/10008839946