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An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting
Han, Xuyuan; Liu, Zhenya; Wang, Shixuan - In: Journal of commodity markets 25 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013204443
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Structural breaks in panel data : large number of panels and short length time series
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - 2017
Persistent link: https://www.econbiz.de/10011653095
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Structural breaks in panel data : large number of panels and short length time series
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - In: Econometric reviews 38 (2019) 7, pp. 828-855
Persistent link: https://www.econbiz.de/10012181361
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Breaks in term structures : evidence from the oil futures markets
Horváth, Lajos; Liu, Zhenya; Miller, Curtis; Tang, Weiqing - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2317-2341
Persistent link: https://www.econbiz.de/10014533420
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Sequential monitoring of stock market price changes
Li, Hemei; Liu, Zhenya; Xiao, Zhijie - In: International review of economics & finance : IREF 89 (2024) 1, pp. 156-172
Persistent link: https://www.econbiz.de/10014446420
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Detecting common breaks in the means of high dimensional cross-dependent panels
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Zhao, Yuqian - In: The econometrics journal 25 (2022) 2, pp. 362-383
Persistent link: https://www.econbiz.de/10013253840