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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
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Functional time series approach to analyzing asset returns co-movements
Saart, Patrick W.; Xia, Yingcun - In: Journal of econometrics 229 (2022) 1, pp. 127-151
Persistent link: https://www.econbiz.de/10013441838
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On improvability of model selection by model averaging
Peng, Jingfu; Yang, Yuhong - In: Journal of econometrics 229 (2022) 2, pp. 246-262
Persistent link: https://www.econbiz.de/10013441868
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Bayesian factor-adjusted sparse regression
Fan, Jianqing; Jiang, Bai; Sun, Qiang - In: Journal of econometrics 230 (2022) 1, pp. 3-19
Persistent link: https://www.econbiz.de/10013441909