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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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Simultaneous multiple change-point and factor analysis for high-dimensional time series
Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr - In: Journal of econometrics 206 (2018) 1, pp. 187-225
Persistent link: https://www.econbiz.de/10012110376
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On consistency of minimum description length model selection for piecewise autoregressions
Davis, Richard A.; Hancock, Stacey A.; Yao, Yi-Ching - In: Journal of econometrics 194 (2016) 2, pp. 360-368
Persistent link: https://www.econbiz.de/10011705206
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Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
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Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
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Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
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Noncausal vector AR processes with application to economic time series
Davis, Richard A.; Li, Song - In: Journal of econometrics 216 (2020) 1, pp. 246-267
Persistent link: https://www.econbiz.de/10012439692
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Goodness-of-fit testing for time series models via distance covariance
Wan, Phyllis; Davis, Richard A. - In: Journal of econometrics 227 (2022) 1, pp. 4-24
Persistent link: https://www.econbiz.de/10013441619