Econometrics - Open Access Journal, MDPI

Collection's Items (Sorted by Title in Descending order): 1 to 20 of 132
Year of PublicationTitleAuthor(s)
2017 Regime switching vine copula models for global equity and volatility indicesFink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob
2017 A fast algorithm for the computation of HAC covariance matrix estimatorsHeberle, Jochen; Sattarhoff, Cristina
2017 The univariate collapsing method for portfolio optimizationPaolella, Marc S.
2017 Bayesian inference for latent factor copulas and application to financial risk forecastingSchamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia
2017 Copula-based vMEM specifications versus alternatives: The case of trading activityCipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M.
2017 Copula-based factor models for multivariate asset returnsIvanov, Eugen; Min, Aleksey; Ramsauer, Franz
2017 Maximum likelihood estimation of the I(2) model under linear restrictionsDoornik, Jurgen A.
2017 Selecting the lag length for the MGLS unit root tests with structural change: A warning note for practitioners based on simulationsQuineche, Ricardo; Rodríguez, Gabriel
2017 A simple test for causality in volatilityChang, Chia-Lin; McAleer, Michael
2017 Unit roots and structural breaksPerron, Pierre
2017 Between institutions and global forces: Norwegian wage formation since industrialisationNymoen, Ragnar
2017 Fixed-b inference for testing structural change in a time series regressionCho, Cheol-Keun; Vogelsang, Timothy J.; Montañés, Antonio
2017 Fractional unit root tests allowing for a structural change in trend under both the null and alternative hypothesesChang, Seong Yeon; Perron, Pierre
2017 Goodness-of-fit tests for copulas of multivariate time seriesRémillard, Bruno
2017 Structural breaks, inflation and interest rates: Evidence from the G7 countriesClemente, Jesús; Gadea, María Dolores; Montañés, Antonio; Reyes, Marcelo
2017 Endogeneity, time-varying coefficients, and incorrect vs. correct ways of specifying the error terms of econometric modelsSwamy, P. A. V. B.; Mehta, Jatinder S.; Chang, I-Lok
2017 Testing for a structural break in a spatial panel modelSengupta, Aparna
2017 A note on identification of bivariate copulas for discrete count dataTrivedi, Pravin; Zimmer, David
2017 Consistency of trend break point estimator with underspecified break numberYang, Jingjing
2017 Business cycle estimation with high-pass and band-pass local polynomial regressionÁlvarez, Luis J.
Collection's Items (Sorted by Title in Descending order): 1 to 20 of 132