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Regression analysis
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54
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34
Xiao, Zhijie
33
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Su, Liangjun
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26
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Yang, Lijian
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22
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22
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Xu, Ke-Li
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Claeskens, Gerda
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Marcellino, Massimiliano
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Neumeyer, Natalie
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Journal of the American Statistical Association : JASA
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Econometric reviews
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Cowles Foundation discussion paper
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The econometrics journal
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International journal of forecasting
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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Finance research letters
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NBER Working Paper
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Applied economics letters
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Economic modelling
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NBER working paper series
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European journal of operational research : EJOR
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Cowles Foundation Discussion Paper
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Applied economics
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Computational economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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IZA Discussion Paper
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Journal of empirical finance
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KBI
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SFB 649 discussion paper
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1
Variable selection in high dimensional linear regressions with parameter instability
Chudik, Alexander
;
Pesaran, M. Hashem
;
Sharifvaghefi, Mahrad
-
2023
variable as well as the
correlation
of the covariates in the active set are allowed to vary over time, without committing to …
Persistent link: https://www.econbiz.de/10013494088
Saved in:
2
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
3
A novel estimation of time-varying quantile
correlation
for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
Saved in:
4
Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun
;
Hwang, Sun Young
;
Kim, Jong-Min
;
Kim, Sahm
- In:
Applied economics
55
(
2023
)
3
,
pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
Saved in:
5
Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie
;
Lan, Wei
;
Su, Liangjun
;
Tsai, Chih-Ling
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
Saved in:
6
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
7
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
8
Cross-sectional expected returns : new Fama-MacBeth regressions in the era of machine learning
Han, Yufeng
;
He, Ai
;
Rapach, David E.
;
Zhou, Guofu
-
2024
Persistent link: https://www.econbiz.de/10015357602
Saved in:
9
Bonferroni-type tests for return predictability with possibly trending predictors
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
-
2025
Persistent link: https://www.econbiz.de/10015372710
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10
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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