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Testing for integration and cointegration when time series are observed with noise
Gianfreda, Angelica; Maranzano, Paolo; Parisio, Lucia; … - In: Economic modelling 125 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014463618
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Estimating high dimensional multivariate stochastic volatility models
Pelagatti, Matteo; Sbrana, Giacomo - 2020
Persistent link: https://www.econbiz.de/10012318391
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Optimal hierarchical EWMA forecasting
Sbrana, Giacomo; Pelagatti, Matteo - In: International journal of forecasting 40 (2024) 2, pp. 616-625
Persistent link: https://www.econbiz.de/10014547189
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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077