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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10002028637
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A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Abadir, Karim Maher; Lucas, André - In: Journal of econometrics 119 (2004) 1, pp. 45-71
Persistent link: https://www.econbiz.de/10001943912
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Multi-dimensional latent group structures with heterogeneous distributions
Leng, Xuan; Chen, Heng; Wang, Wendun - In: Journal of econometrics 233 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014340642
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Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian; Hartkopf, Jan Patrick - In: Journal of econometrics 235 (2023) 1, pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
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A higher-order correct fast moving-average bootstrap for dependent data
La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - In: Journal of econometrics 235 (2023) 1, pp. 65-81
Persistent link: https://www.econbiz.de/10014434380
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Density estimation for nonlinear parametric models with conditional heteroscedasticity
Zhao, Zhibiao - In: Journal of econometrics 155 (2010) 1, pp. 71-82
Persistent link: https://www.econbiz.de/10003965383
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Regression density estimation using smooth adaptive Gaussian mixtures
Villani, Mattias; Kohn, Robert; Giordani, Paolo - In: Journal of econometrics 153 (2009) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10003920289
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Exponential Series Estimator of multivariate densities
Wu, Ximing - In: Journal of econometrics 156 (2010) 2, pp. 354-366
Persistent link: https://www.econbiz.de/10008648808
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Sequential estimation of shape parameters in multivariate dynamic models
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 177 (2013) 2, pp. 233-249
Persistent link: https://www.econbiz.de/10010254873
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Conditional predictive density evaluation in the presence of instabilities
Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 177 (2013) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10010254876