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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
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Estimation and inference for impulse response functions from univariate strongly persistent processes
Baillie, Richard; Kapetanios, George - In: The econometrics journal 16 (2013) 3, pp. 373-399
Persistent link: https://www.econbiz.de/10010253634
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The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca; Mazzali, Marco - In: The econometrics journal 27 (2024) 1, pp. 126-150
Persistent link: https://www.econbiz.de/10014528100
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Estimation of high-dimensional vector autoregression via sparse precision matrix
Poignard, Benjamin; Asai, Manabu - In: The econometrics journal 26 (2023) 2, pp. 307-326
Persistent link: https://www.econbiz.de/10014319364
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Model selection for varying coefficient nonparametric transformation model
Zhang, Xiao; Liu, Xu; Shi, Xingjie - In: The econometrics journal 26 (2023) 3, pp. 492-512
Persistent link: https://www.econbiz.de/10014391717
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Estimating and testing multiple structural changes in linear models using band spectral regressions
Yamamoto, Yohei; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 400-429
Persistent link: https://www.econbiz.de/10010253633
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Backfitting and smooth backfitting in varying coefficient quantile regression
Lee, Young K.; Mammen, Enno; Park, Byeong U. - In: The econometrics journal 17 (2014) 2, pp. 20-38
Persistent link: https://www.econbiz.de/10010498737
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Direct semi-parametric estimation of fixed effects panel data varying coefficient models
Rodríguez Poo, Juan Manuel; Soberon, Alexandra - In: The econometrics journal 17 (2014) 1, pp. 107-138
Persistent link: https://www.econbiz.de/10010498753
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Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn - In: The econometrics journal 11 (2008) 2, pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
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Non-parametric regression with a latent time series
Linton, Oliver; Nielsen, Jens Perch; Nielsen, Søren Feodor - In: The econometrics journal 12 (2009) 2, pp. 187-207
Persistent link: https://www.econbiz.de/10003875342