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Testing for constant correlation of filtered series under structural change
Demetrescu, Matei; Wied, Dominik - In: The econometrics journal 22 (2019) 1, pp. 10-33
Persistent link: https://www.econbiz.de/10012166648
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Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
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LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82
Persistent link: https://www.econbiz.de/10012504449
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Testing for volatility interactions in the constant conditional correlation GARCH model
Nakatani, Tomoaki; Teräsvirta, Timo - In: The econometrics journal 12 (2009) 1, pp. 147-163
Persistent link: https://www.econbiz.de/10003841983
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Efficient inference in multivariate fractionally integrated time series models
Nielsen, Morten Ørregaard - In: The econometrics journal 7 (2004) 1, pp. 63-97
Persistent link: https://www.econbiz.de/10002121962
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A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
Sun, Yixiao - In: The econometrics journal 16 (2013) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10009722516
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Testing for uncorrelated errors in ARMA models : non-standard Andrews-Ploberger tests
Nankervis, John C.; Savin, Nathan E. - In: The econometrics journal 15 (2012) 3, pp. 516-534
Persistent link: https://www.econbiz.de/10009710131
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Distribution-free specification tests for dynamic linear models
Delgado, Miguel A.; Hidalgo, Javier; Velasco, Carlos - In: The econometrics journal 12 (2009), pp. 105-134
Persistent link: https://www.econbiz.de/10003876439
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Residuals-based tests for cointegration with generalized least-squares detrended data
Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111
Persistent link: https://www.econbiz.de/10011487613
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Testing for changes in (extreme) VaR
Hoga, Yannick - In: The econometrics journal 20 (2017) 1, pp. 23-51
Persistent link: https://www.econbiz.de/10011719962