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Financial interval time series modelling and forecasting using threshold autoregressive models

Maciel, Leandro - In: International journal of business innovation and research 19 (2019) 3, pp. 285-303

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The global component of inflation volatility

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The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2018

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The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721

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Testing for global covariate effects in dynamic interaction event networks

Kreiß, Alexander; Mammen, Enno; Polonik, Wolfgang - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 457-468

In statistical network analysis it is common to observe so called interaction data. Such data is characterized by actors forming the vertices and interacting along edges of the network, where edges are randomly formed and dissolved over the observation horizon. In addition, covariates are...

Persistent link: https://www.econbiz.de/10015177939

A multivariate pure-jump model with multi-factorial dependence structure

Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30

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Measuring comovements by regression quantiles

Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 645-678

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Comparison of conditional distributions in portfolios of dependent risks

Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69

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Mixed data kernel copulas

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Bayesian total loss estimation using shared random effects

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