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Quantile spectral analysis for locally stationary time series

Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014

Persistent link: https://www.econbiz.de/10010376928

Quantile spectral analysis for locally stationary time series

Skowronek, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2014

Persistent link: https://www.econbiz.de/10010347305

A test for second order stationarity of a multivariate time series

Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of econometrics 185 (2015) 1, pp. 124-161

Persistent link: https://www.econbiz.de/10011339888

Time-varying model averaging

Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992

Persistent link: https://www.econbiz.de/10012619810

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012064799

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012183847

Optimal signal extraction with correlated components

McElroy, Tucker; Maravall Herrero, Agustín - In: Journal of time series econometrics 6 (2014) 2, pp. 237-273

Persistent link: https://www.econbiz.de/10010401113

Modelling nonlinearities in cointegration relationships

Schweikert, Karsten - 2017

Persistent link: https://www.econbiz.de/10012795244

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional … is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid …

Persistent link: https://www.econbiz.de/10012183480

Large spillover networks of nonstationary systems

Chen, Shi; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 422-436

Persistent link: https://www.econbiz.de/10015053412