Time-varying multivariate causal processes (Q6118719)

scientific article; zbMATH DE number 7822309

Language	Label	Description	Also known as
English	Time-varying multivariate causal processes	scientific article; zbMATH DE number 7822309

Statements

instance of

scholarly article

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title

Time-varying multivariate causal processes (English)

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published in

Journal of Econometrics

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publication date

21 March 2024

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full work available at URL

https://arxiv.org/abs/2206.00409

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zbMATH Keywords

local linear quasi-maximum likelihood estimation

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multivariate causal process

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uniform confidence band

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MaRDI profile type

MaRDI publication profile

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cites work

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A discrete-time hedging framework with multiple factors and fat tails: on what matters

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Uniform nonparametric inference for time series

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Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

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ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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Q5312885

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Estimating smooth structural change in cointegration models

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Detection of Multiple Structural Breaks in Multivariate Time Series

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Cross validation for locally stationary processes

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Q3999154

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Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models

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Nonparametric regression for locally stationary time series

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Conditions for linear processes to be strong-mixing

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Nonlinear system theory: Another look at dependence

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Limit theorems for iterated random functions

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Bias-corrected Confidence Bands in Nonparametric Regression

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Inference of time-varying regression models

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Identifiers

arXiv ID

2206.00409

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Mathematics Subject Classification ID

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10.1016/J.JECONOM.2024.105671

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Sitelinks

Mathematics(1 entry)

mardi Publication:6118719