Contact information of Elsevier
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecosta. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/econometrics-and-statistics .
Content
2024, Volume 32, Issue C
- 1-16 Risk reduction and portfolio optimization using clustering methods
by Sass, Jörn & Thös, Anna-Katharina
- 17-33 Dynamic portfolio selection with sector-specific regularization
by Hafner, Christian M. & Wang, Linqi
- 34-56 Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
by Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro
- 57-72 Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
by Silvennoinen, Annastiina & Teräsvirta, Timo
- 73-87 Estimation of ergodic square-root diffusion under high-frequency sampling
by Cheng, Yuzhong & Hufnagel, Nicole & Masuda, Hiroki
- 88-97 Estimation in the High Dimensional Additive Hazard Model with l0 Type of Penalty
by Zhou, Yunpeng & Yuen, Kam Chuen
- 98-121 Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes
by Villani, Mattias & Quiroz, Matias & Kohn, Robert & Salomone, Robert
- 122-159 Spectral Dependence
by Ombao, Hernando & Pinto, Marco
2024, Volume 31, Issue C
- 1-18 Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables
by Barbarino, Alessandro & Bura, Efstathia
- 19-37 Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification
by Peng, Rong & Lu, Zudi
- 38-48 Bias correction for Vandermonde low-rank approximation
by Fazzi, Antonio & Kukush, Alexander & Markovsky, Ivan
- 49-65 Conditional Quantile Functions for Zero-Inflated Longitudinal Count Data
by Lamarche, Carlos & Shi, Xuan & Young, Derek S.
- 66-80 Edgeworth expansions for multivariate random sums
by Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan
- 81-99 Differentially Private Goodness-of-Fit Tests for Continuous Variables
by Kwak, Seung Woo & Ahn, Jeongyoun & Lee, Jaewoo & Park, Cheolwoo
- 100-116 Multivariate Count Time Series Modelling
by Fokianos, Konstantinos
- 117-129 Spatial-Temporal Analysis of Multi-Subject Functional Magnetic Resonance Imaging Data
by Zhang, Tingting & Pham, Minh & Yan, Guofen & Wang, Yaotian & Medina-DeVilliers, Sara & Coan, James A.
2024, Volume 30, Issue C
- 1-14 Partially one-sided semiparametric inference for trending persistent and antipersistent processes
by Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas
- 15-35 Integrated nested Laplace approximations for threshold stochastic volatility models
by Bermudez, P. de Zea & Marín, J. Miguel & Rue, Håvard & Veiga, Helena
- 36-59 GMM with Nearly-Weak Identification
by Antoine, Bertille & Renault, Eric
- 60-75 Modeling Turning Points in the Global Equity Market
by Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto
- 76-95 Data segmentation algorithms: Univariate mean change and beyond
by Cho, Haeran & Kirch, Claudia
- 96-109 Exact Simulation of Max-Infinitely Divisible Processes
by Zhong, Peng & Huser, Raphaël & Opitz, Thomas
- 110-123 Fuzzy k-Means: history and applications
by Ferraro, Maria Brigida
- 124-132 A model specification test for semiparametric nonignorable missing data modeling
by Tang, Cheng Yong
2024, Volume 29, Issue C
- 1-15 Bootstrapping long memory time series: Application in low frequency estimators
by Arteche, Josu
- 16-30 Estimation of Large Dynamic Covariance Matrices: A Selective Review
by Li, Degui
- 31-48 Recent development of covariance structure analysis in economics
by Hayakawa, Kazuhiko
- 49-63 Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
by Psaradakis, Zacharias & Sola, Martin
- 64-87 A new macro-financial condition index for the euro area
by Morana, Claudio
- 88-112 Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs
by Baillie, Richard T. & Cho, Dooyeon & Rho, Seunghwa
- 113-131 COVID-19 spreading in financial networks: A semiparametric matrix regression model
by Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo
- 132-149 Industrial Connectedness and Business Cycle Comovements
by Guisinger, Amy Y. & Owyang, Michael T. & Soques, Daniel
- 150-168 Review and comparison of measures of explained variation and model selection in linear mixed-effects models
by Cantoni, Eva & Jacot, Nadège & Ghisletta, Paolo
- 169-188 Robust penalized spline estimation with difference penalties
by Kalogridis, Ioannis & Van Aelst, Stefan
- 189-205 Information Criteria for Outlier Detection Avoiding Arbitrary Significance Levels
by Riani, Marco & Atkinson, Anthony Curtis & Corbellini, Aldo & Farcomeni, Alessio & Laurini, Fabrizio
- 206-223 Robust interactive fixed effects
by Boudt, Kris & Heyndels, Ewoud
- 224-237 Fast Optimal Subsampling Probability Approximation for Generalized Linear Models
by Lee, JooChul & Schifano, Elizabeth D. & Wang, HaiYing
- 238-251 An extended Babai method for estimating linear model based integer parameters
by Chang, Xiao-Wen & Chen, Zhilong & Wen, Jinming
- 252-260 On some multivariate sign tests for scatter matrix eigenvalues
by Bernard, Gaspard & Verdebout, Thomas
- 261-281 Cholesky-based multivariate Gaussian regression
by Muschinski, Thomas & Mayr, Georg J. & Simon, Thorsten & Umlauf, Nikolaus & Zeileis, Achim
2023, Volume 28, Issue C
- 1-29 Networks in risk spillovers: A multivariate GARCH perspective
by Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana
- 30-46 Bayesian estimation of realized GARCH-type models with application to financial tail risk management
by Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H.
- 47-62 Bayesian Analysis of ARCH-M model with a dynamic latent variable
by Song, Zefang & Song, Xinyuan & Li, Yuan
- 63-80 Factor-augmented Bayesian treatment effects models for panel outcomes
by Wagner, Helga & Frühwirth-Schnatter, Sylvia & Jacobi, Liana
- 81-104 Implicit Copulas: An Overview
by Smith, Michael Stanley
- 105-119 A review of effective age models and associated non- and semiparametric methods
by Beutner, Eric
- 120-137 Change point estimation under a copula-based Markov chain model for binomial time series
by Emura, Takeshi & Lai, Ching-Chieh & Sun, Li-Hsien
- 138-154 Partially orthogonal blocked three-level response surface designs
by Großmann, Heiko & Gilmour, Steven G.
- 155-162 Numerical Methods for Finding A-optimal Designs Analytically
by Chen, Ping-Yang & Chen, Ray-Bing & Chen, Yu-Shi & Wong, Weng Kee
- 163-172 Multi-objective optimisation of split-plot designs
by Borrotti, Matteo & Sambo, Francesco & Mylona, Kalliopi
2023, Volume 27, Issue C
- 1-15 Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach
by Hallin, Marc & Trucíos, Carlos
- 16-35 A Multivariate Randomized Response Model for Sensitive Binary Data
by Chu, Amanda M.Y. & Omori, Yasuhiro & So, Hing-yu & So, Mike K.P.
- 36-61 Robust Covariance Matrix Estimation in Time Series: A Review
by Hirukawa, Masayuki
- 62-82 Seasonality in High Frequency Time Series
by Proietti, Tommaso & Pedregal, Diego J.
- 83-101 A Two-Way Transformed Factor Model for Matrix-Variate Time Series
by Gao, Zhaoxing & Tsay, Ruey S.
- 102-119 Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s g Prior for Predictive Robustness
by Hans, Christopher M. & Peruggia, Mario & Wang, Junyan
- 120-135 Inner spike and slab Bayesian nonparametric models
by Canale, Antonio & Lijoi, Antonio & Nipoti, Bernardo & Prünster, Igor
- 136-160 Bayesian estimation for mode and anti-mode preserving circular distributions
by Abe, Toshihiro & Miyata, Yoichi & Shiohama, Takayuki
- 161-172 Bayesian analysis for mediation and moderation using g−priors
by Galharret, Jean-Michel & Philippe, Anne
- 173-196 A Weissman-type estimator of the conditional marginal expected shortfall
by Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing
2023, Volume 26, Issue C
- 3-16 High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research
by Lippi, Marco & Deistler, Manfred & Anderson, Brian
- 17-30 Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
by Pesaran, M. Hashem & Smith, Ron P.
- 31-51 Robust Discovery of Regression Models
by Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F.
- 52-71 Fast cluster bootstrap methods for linear regression models
by MacKinnon, James G.
- 72-83 Dynamic Tobit models
by Harvey, Andew & Liao, Yin
- 84-98 Fuzzy sets and (fuzzy) random sets in Econometrics and Statistics
by Colubi, Ana & Ramos-Guajardo, Ana Belén
- 99-123 Rage Against the Mean – A Review of Distributional Regression Approaches
by Kneib, Thomas & Silbersdorff, Alexander & Säfken, Benjamin
- 124-138 Semi-Supervised Learning of Classifiers from a Statistical Perspective: A Brief Review
by Ahfock, Daniel & McLachlan, Geoffrey J.
- 139-152 A New Statistic for Bayesian Hypothesis Testing
by Chen, Su & Walker, Stephen G.
- 153-160 When the score function is the identity function - A tale of characterizations of the normal distribution
by Ley, Christophe
2023, Volume 25, Issue C
- 1-22 Instrument-free inference under confined regressor endogeneity and mild regularity
by Kiviet, Jan F.
- 23-38 Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application
by Asai, Manabu
- 39-48 On a Rosenblatt-type transformation of multivariate copulas
by Savinov, Evgeniy & Shamraeva, Victoria
- 51-65 Combining rules for F- and Beta-statistics from multiply-imputed data
by Chaurasia, Ashok
- 66-86 Constructing a polygenic risk score for childhood obesity using functional data analysis
by Craig, Sarah J.C. & Kenney, Ana M. & Lin, Junli & Paul, Ian M. & Birch, Leann L. & Savage, Jennifer S. & Marini, Michele E. & Chiaromonte, Francesca & Reimherr, Matthew L. & Makova, Kateryna D.
- 87-92 Regression Reconstruction from a Retrospective Sample
by Kartsonaki, Christiana & Cox, D. R.
- 93-109 On The Problem of Relevance in Statistical Inference
by Mukhopadhyay, Subhadeep & Wang, Kaijun
- 110-124 Statistical inference for state occupation and transition probabilities in non-Markov multi-state models subject to both random left-truncation and right-censoring
by Nießl, Alexandra & Allignol, Arthur & Beyersmann, Jan & Mueller, Carina
- 125-133 A Markov decision process for response adaptive designs
by Yi, Yanqing & Wang, Xikui
2022, Volume 24, Issue C
- 1-26 Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption
by Bleher, Johannes & Dimpfl, Thomas
- 27-48 Time series copula models using d-vines and v-transforms
by Bladt, Martin & McNeil, Alexander J.
- 49-74 On the local power of some tests of strict exogeneity in linear fixed effects models
by Mayer, Alexander
- 75-93 Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach
by Zhang, Yixiao & Yu, Cindy L. & Li, Haitao
- 94-115 Convergence of spectral density estimators in the locally stationary framework
by Kawka, Rafael
- 116-132 Bias-corrected method of moments estimators for dynamic panel data models
by Breitung, Jörg & Kripfganz, Sebastian & Hayakawa, Kazuhiko
- 133-150 Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
by Li, Hua & Bai, Zhidong & Wong, Wing-Keung & McAleer, Michael
- 151-163 A semi-parametric empirical likelihood approach for conditional estimating equations under endogenous selection
by Berger, Yves G. & Patilea, Valentin
- 164-182 The ARMA Point Process and its Estimation
by Schatz, Michael & Wheatley, Spencer & Sornette, Didier
- 183-193 Simultaneous confidence bands for the functional mean of convex curves
by Gattone, Stefano Antonio & Fortuna, Francesca & Evangelista, Adelia & Di Battista, Tonio
2022, Volume 23, Issue C
- 1-18 Testing for coefficient differences across nested linear regression specifications
by Blackburn, McKinley L.
- 19-35 AdaVol: An Adaptive Recursive Volatility Prediction Method
by Werge, Nicklas & Wintenberger, Olivier
- 36-52 Correcting Intraday Periodicity Bias in Realized Volatility Measures
by Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch
- 53-82 Stochastic leverage effect in high-frequency data: a Fourier based analysis
by Curato, Imma Valentina & Sanfelici, Simona
- 83-104 Conditional inference for binary panel data models with predetermined covariates
by Pigini, Claudia & Bartolucci, Francesco
- 105-127 Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
by Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle
- 128-146 Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence
by Rodríguez-Caballero, Carlos Vladimir
- 147-164 Multivariate time-series modeling with generative neural networks
by Hofert, Marius & Prasad, Avinash & Zhu, Mu
- 165-186 A bias-adjusted estimator in quantile regression for clustered data
by Battagliola, Maria Laura & Sørensen, Helle & Tolver, Anders & Staicu, Ana-Maria
- 187-203 High-dimensional GARCH process segmentation with an application to Value-at-Risk
by Cho, Haeran & Korkas, Karolos K.
2022, Volume 22, Issue C
- 3-16 Gradient boosting in Markov-switching generalized additive models for location, scale, and shape
by Adam, Timo & Mayr, Andreas & Kneib, Thomas
- 17-38 Optimal stratification of survival data via Bayesian nonparametric mixtures
by Corradin, Riccardo & Nieto-Barajas, Luis Enrique & Nipoti, Bernardo
- 39-55 A hierarchical mixture cure model with unobserved heterogeneity for credit risk
by Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart
- 56-66 Asymptotics for Markov chain mixture detection
by Fitzpatrick, Matthew & Stewart, Michael
- 67-97 Improved Inference of Gaussian Mixture Copula Model for Clustering and Reproducibility Analysis using Automatic Differentiation
by Kasa, Siva Rajesh & Rajan, Vaibhav
- 98-123 A mixture model for ordinal variables measured on semantic differential scales
by Manisera, Marica & Zuccolotto, Paola
- 124-135 Modelling Multiple Regimes in Economic Growth by Mixtures of Generalised Nonlinear Models
by Omerovic, Sanela & Friedl, Herwig & Grün, Bettina
- 136-158 Vine copula mixture models and clustering for non-Gaussian data
by Sahin, Özge & Czado, Claudia
- 159-171 Machine Learning Embedded Semiparametric Mixtures of Regressions with Covariate-Varying Mixing Proportions
by Xue, Jiacheng & Yao, Weixin
- 172-189 A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions
by Zhuang, Haoxin & Diao, Liqun & Yi, Grace Y.
2022, Volume 21, Issue C
- 1-18 An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models
by Hadjiantoni, Stella & Kontoghiorghes, Erricos John
- 19-37 A nonparametric copula approach to conditional Value-at-Risk
by Geenens, Gery & Dunn, Richard
- 38-49 On temporal aggregation of some nonlinear time-series models
by Chan, Wai-Sum
- 50-68 Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo
by Wee, Damien C.H. & Chen, Feng & Dunsmuir, William T.M.
- 69-95 Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models
by Lux, Thomas
- 96-111 An indirect proof for the asymptotic properties of VARMA model estimators
by Mélard, Guy
- 114-130 A Score Based Test for Functional Linear Concurrent Regression
by Ghosal, Rahul & Maity, Arnab
- 131-158 Functional estimation of extreme conditional expectiles
by Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine
- 159-178 Modeling Probability Density Functions as Data Objects
by Petersen, Alexander & Zhang, Chao & Kokoszka, Piotr
2021, Volume 20, Issue C
- 2-11 Kernel-based Volatility Generalised Least Squares
by Chronopoulos, Ilias & Kapetanios, George & Petrova, Katerina
- 12-28 Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model
by Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M.
- 29-45 Forecasting bubbles with mixed causal-noncausal autoregressive models
by Hecq, Alain & Voisin, Elisa
- 46-61 Fixed-bandwidth CUSUM tests under long memory
by Wenger, Kai & Leschinski, Christian
- 62-86 Model calibration and validation via confidence sets
by Seri, Raffaello & Martinoli, Mario & Secchi, Davide & Centorrino, Samuele
- 87-108 Flexible Mixture Priors for Large Time-varying Parameter Models
by Hauzenberger, Niko
- 109-130 Bias correction for local linear regression estimation using asymmetric kernels via the skewing method
by Funke, Benedikt & Hirukawa, Masayuki
- 131-152 Iterated conditional expectation algorithm on DAGs and regression graphs
by Baranyi, Máté & Bolla, Marianna
- 153-165 Equivalent models for observables under the assumption of missing at random
by Hristache, Marian & Patilea, Valentin
- 166-175 Quantile LASSO with changepoints in panel data models applied to option pricing
by Maciak, Matúš
- 176-201 Blockwise Euclidean likelihood for spatio-temporal covariance models
by Morales-Oñate, Víctor & Crudu, Federico & Bevilacqua, Moreno
2021, Volume 19, Issue C
- 1-21 Bootstrap seasonal unit root test under periodic variation
by Zou, Nan & Politis, Dimitris N.
- 22-46 Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo
by Li, Dan & Clements, Adam & Drovandi, Christopher
- 47-57 Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence
by Blasques, Francisco & Lucas, André & van Vlodrop, Andries C.
- 58-96 Jump-preserving varying-coefficient models for nonlinear time series
by Čížek, Pavel & Koo, Chao Hui
- 97-113 Simulation smoothing for nowcasting with large mixed-frequency VARs
by Ankargren, Sebastian & Jonéus, Paulina
- 114-129 Cyclical fractional cointegration
by Voges, Michelle & Sibbertsen, Philipp
- 130-150 Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
by Kreuzer, Alexander & Czado, Claudia
- 151-168 EM algorithm using overparameterization for the multivariate skew-normal distribution
by Abe, Toshihiro & Fujisawa, Hironori & Kawashima, Takayuki & Ley, Christophe
- 169-187 On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods
by Li, Linyuan & Duchesne, Pierre & Liou, Chu Pheuil
2021, Volume 18, Issue C
- 1-11 State-level wage Phillips curves
by Kapetanios, George & Price, Simon & Tasiou, Menelaos & Ventouri, Alexia
- 12-27 Spurious cross-sectional dependence in credit spread changes
by Jaskowski, Marcin & McAleer, Michael
- 29-43 Bayesian analysis of hidden Markov structural equation models with an unknown number of hidden states
by Liu, Hefei & Song, Xinyuan
- 44-62 Detecting changes in the covariance structure of functional time series with application to fMRI data
by Stoehr, Christina & Aston, John A D & Kirch, Claudia
- 63-78 A class of two-mode clustering algorithms in a fuzzy setting
by Ferraro, Maria Brigida & Giordani, Paolo & Vichi, Maurizio
- 79-88 A Likelihood Ratio Test of a Homoscedastic Multivariate Normal Mixture Against a Heteroscedastic Multivariate Normal Mixture
by Cong, Lin & Yao, Weixin
- 89-105 Efficient surface finish defect detection using reduced rank spline smoothers and probabilistic classifiers
by Pya Arnqvist, Natalya & Ngendangenzwa, Blaise & Lindahl, Eric & Nilsson, Leif & Yu, Jun
- 106-116 Quantile LASSO in arbitrage-free option markets
by Maciak, Matúš
- 117-142 Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression
by Sin, C.Y. (Chor-yiu) & Lee, Cheng-Few
2021, Volume 17, Issue C
- 1-22 Model risk management: Valuation and governance of pseudo-models
by Gourieroux, C. & Monfort, A.
- 23-34 Spatially varying sparsity in dynamic regression models
by Hu, Guanyu
- 35-63 Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors
by Centorrino, Samuele & Florens, Jean-Pierre
- 64-75 Evaluating restricted common factor models for non-stationary data
by Di Iorio, Francesca & Fachin, Stefano
- 76-94 Multivariate stochastic volatility using the HESSIAN method
by McCausland, William & Miller, Shirley & Pelletier, Denis
- 95-106 Aggregation of Seasonal Long-Memory Processes
by del Barrio Castro, Tomás & Rachinger, Heiko
- 107-129 A panel cointegrating rank test with structural breaks and cross-sectional dependence
by Arsova, Antonia & Karaman Örsal, Deniz Dilan
- 130-144 A O(n) algorithm for the discrete best L4 monotonic approximation problem
by Demetriou, I.C.
- 145-155 Ensembling Imbalanced-Spatial-Structured Support Vector Machine
by Liu, Xin & Yi, Grace Y. & Bauman, Glenn & He, Wenqing
- 156-172 A Note on Adaptive Group Lasso for Structural Break Time Series
by Behrendt, Simon & Schweikert, Karsten
2020, Volume 16, Issue C
- 1-27 DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation
by Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos
- 28-41 The effect of explanatory variables on income: A tool that allows a closer look at the differences in income
by Tutz, Gerhard & Berger, Moritz
- 42-54 Realized stochastic volatility models with generalized Gegenbauer long memory
by Asai, Manabu & McAleer, Michael & Peiris, Shelton
- 55-68 Identification of independent structural shocks in the presence of multiple Gaussian components
by Maxand, Simone
- 69-90 On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin
by Phillip, Andrew & Chan, Jennifer & Peiris, Shelton
- 91-107 Fractional Brownian markets with time-varying volatility and high-frequency data
by Lahiri, Ananya & Sen, Rituparna
- 108-120 Semiparametric inference with missing data: Robustness to outliers and model misspecification
by Cantoni, Eva & de Luna, Xavier
- 121-135 Hypothesis testing for tail dependence parameters on the boundary of the parameter space
by Kiriliouk, Anna
- 136-147 Selection tests for possibly misspecified hierarchical multinomial marginal models
by Colombi, Roberto
- 148-167 Flexible copula models with dynamic dependence and application to financial data
by Krupskii, Pavel & Joe, Harry
2020, Volume 15, Issue C
- 3-29 Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models
by De Blander, Rembert
- 30-45 Combined estimation of semiparametric panel data models
by Huang, Bai & Lee, Tae-Hwy & Ullah, Aman
- 46-66 Heteroscedastic stratified two-way EC models of single equations and SUR systems
by Platoni, Silvia & Barbieri, Laura & Moro, Daniele & Sckokai, Paolo
- 67-83 Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models
by Sampaio, Jhames M. & Morettin, Pedro A.
- 85-103 Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials
by Fontaine, Charles & Frostig, Ron D. & Ombao, Hernando
- 104-116 Bayesian longitudinal spectral estimation with application to resting-state fMRI data analysis
by Dai, Ning & Jones, Galin L. & Fiecas, Mark
- 117-135 A hierarchical bayesian model for differential connectivity in multi-trial brain signals
by Hu, Lechuan & Guindani, Michele & Fortin, Norbert J. & Ombao, Hernando
2020, Volume 14, Issue C
- 1-23 Robust frontier estimation from noisy data: A Tikhonov regularization approach
by Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold
- 24-37 A spline function class suitable for demand models
by Rich, Jeppe
- 38-48 Bootstrap lag selection in DSGE models with expectations correction
by Angelini, Giovanni
- 49-62 Statistical inferences for realized portfolio weights
by Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras
- 63-73 The market rank indicator to detect financial distress
by Figini, Silvia & Maggi, Mario & Uberti, Pierpaolo
- 74-88 Accurate and robust inference
by Ronchetti, Elvezio
- 89-111 Regression with I-priors
by Bergsma, Wicher P
- 112-130 The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions
by McElroy, Tucker S. & Wildi, Marc
- 131-144 A Simple Scale-Invariant Two-Sample Test for High-dimensional Data
by Zhang, Liang & Zhu, Tianming & Zhang, Jin-Ting
- 145-158 Subjective heterogeneity in response attitude for multivariate ordinal outcomes
by Simone, Rosaria & Tutz, Gerhard & Iannario, Maria
2020, Volume 13, Issue C
- 2-15 GMM estimation of affine term structure models
by Hlouskova, Jaroslava & Sögner, Leopold
- 16-45 Microeconometric dynamic panel data methods: Model specification and selection issues
by Kiviet, Jan F.
- 46-68 Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity
by Kurose, Yuta & Omori, Yasuhiro
- 69-83 Constructing joint confidence bands for impulse response functions of VAR models – A review
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter
- 84-105 Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
by Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena
- 106-124 Variance swap payoffs, risk premia and extreme market conditions
by Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco
- 125-136 Quadratic regression for functional response models
by Matsui, Hidetoshi
- 137-174 An extreme quantile estimator for the log-generalized Weibull-tail model
by Albert, Clément & Dutfoy, Anne & Gardes, Laurent & Girard, Stéphane
- 175-196 A general white noise test based on kernel lag-window estimates of the spectral density operator
by Characiejus, Vaidotas & Rice, Gregory
2019, Volume 12, Issue C
- 1-24 The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016
by He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua
- 25-41 Particle filtering, learning, and smoothing for mixed-frequency state-space models
by Leippold, Markus & Yang, Hanlin
- 42-65 Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
by Morana, Claudio
- 66-77 Local Whittle estimation of long memory: Standard versus bias-reducing techniques
by García-Enríquez, Javier & Hualde, Javier
- 78-145 Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach
by Czudaj, Robert L.
- 148-166 The class of copulas arising from squared distributions: Properties and inference
by Quessy, Jean-François & Durocher, Martin
Printed from https://ideas.repec.org/s/eee/ecosta.html
