Pages that link to "Item:Q4319456"
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The following pages link to Automatic Lag Selection in Covariance Matrix Estimation (Q4319456):
Displaying 50 items.
- Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations (Q257461) (← links)
- The fragility of the KPSS stationarity test (Q257549) (← links)
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series (Q269393) (← links)
- Bootstrapping GMM estimators for time series (Q275250) (← links)
- Matrix exponential GARCH (Q278044) (← links)
- Markov chain Monte Carlo confidence intervals (Q282567) (← links)
- Incidental trends and the power of panel unit root tests (Q289163) (← links)
- A simple, robust and powerful test of the trend hypothesis (Q289219) (← links)
- Generalized empirical likelihood tests in time series models with potential identification failure (Q290944) (← links)
- Synchronization of cycles (Q291626) (← links)
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (Q291848) (← links)
- Interval forecasts and parameter uncertainty (Q291858) (← links)
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors (Q302107) (← links)
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (Q302189) (← links)
- Copula structured M4 processes with application to high-frequency financial data (Q308364) (← links)
- Estimation of an agent-based model of investor sentiment formation in financial markets (Q310977) (← links)
- Autoregression-based estimation of the New Keynesian Phillips curve (Q318369) (← links)
- Are spectral estimators useful for long-run restrictions in SVARs? (Q318860) (← links)
- Endogenous business cycle propagation and the persistence problem: the role of labor-market frictions (Q428015) (← links)
- On variance estimation in a negative binomial time series regression model (Q450867) (← links)
- Risks of large portfolios (Q494174) (← links)
- A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data (Q515139) (← links)
- Cointegration testing under structural change: reducing size distortions and improving power of residual based tests (Q520400) (← links)
- GEL statistics under weak identification (Q528051) (← links)
- Kernel-weighted GMM estimators for linear time series models (Q528056) (← links)
- Empirical likelihood block bootstrapping (Q530588) (← links)
- How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions (Q547102) (← links)
- Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo (Q548543) (← links)
- Size improvement of the KPSS test using sieve bootstraps (Q694931) (← links)
- Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix (Q737290) (← links)
- A bootstrap-assisted spectral test of white noise under unknown dependence (Q737899) (← links)
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter (Q738032) (← links)
- Simple and powerful GMM over-identification tests with accurate size (Q738121) (← links)
- A modified Wilcoxon test for change points in long-range dependent time series (Q777757) (← links)
- The Frisch-Waugh-Lovell theorem for standard errors (Q826687) (← links)
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation (Q866643) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
- A GMM procedure for combining volatility forecasts (Q1023635) (← links)
- Approximate \(p\)-values of predictive tests for structural stability (Q1292328) (← links)
- On the power of stationarity tests using optimal bandwidth estimates (Q1350544) (← links)
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator (Q1362034) (← links)
- SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form (Q1391607) (← links)
- Unit root and stationarity tests' wedding (Q1589594) (← links)
- Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets (Q1615795) (← links)
- Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model (Q1650294) (← links)
- The Fisher effect in the presence of time-varying coefficients (Q1659137) (← links)
- Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors (Q1659160) (← links)
- Asymptotic variance of Brier (skill) score in the presence of serial correlation (Q1668186) (← links)
- Methods for computing numerical standard errors: review and application to value-at-risk estimation (Q1669699) (← links)
