Pages that link to "Item:Q4319456"
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The following pages link to Automatic Lag Selection in Covariance Matrix Estimation (Q4319456):
Displaying 49 items.
- Interval Estimation for the Sortino Ratio and the Omega Ratio (Q5418878) (← links)
- Estimation of impulse response functions using long autoregression (Q5427679) (← links)
- Size matters: covariance matrix estimation under the alternative (Q5433627) (← links)
- Improved nonparametric confidence intervals in time series regressions (Q5478900) (← links)
- Investor preferences and portfolio selection: is diversification an appropriate strategy? (Q5484650) (← links)
- HAC ESTIMATION BY AUTOMATED REGRESSION (Q5697627) (← links)
- The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure (Q5745642) (← links)
- Short-horizon return predictability and oil prices (Q5745653) (← links)
- Wavelet energy ratio unit root tests (Q5860909) (← links)
- Functional-coefficient cointegration models in the presence of deterministic trends (Q5862483) (← links)
- Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data (Q5864360) (← links)
- Estimation and inference in the linear-quadratic inventory model (Q5894594) (← links)
- Estimation and inference in the linear-quadratic inventory model (Q5906553) (← links)
- Causality tests and conditional heteroskedasticity: Monte Carlo evidence (Q5931138) (← links)
- On improving the robustness and reliability of Rao's score test (Q5943799) (← links)
- Testing for Granger causality with mixed frequency data (Q5964759) (← links)
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)
- Comments on: A review on empirical likelihood methods for regression (Q5966109) (← links)
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models (Q6108257) (← links)
- Profile GMM estimation of panel data models with interactive fixed effects (Q6108285) (← links)
- Asymptotic F test in regressions with observations collected at high frequency over long span (Q6108300) (← links)
- Peaks, gaps, and time‐reversibility of economic time series (Q6135333) (← links)
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach (Q6152637) (← links)
- Time series modeling of paleoclimate data (Q6179614) (← links)
- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks (Q6190744) (← links)
- The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity (Q6193066) (← links)
- The likelihood ratio test for structural changes in factor models (Q6193072) (← links)
- Standard errors for panel data models with unknown clusters (Q6199637) (← links)
- Is Newey-West optimal among first-order kernels? (Q6199656) (← links)
- Does geographic or market proximity matter? Evidence from institutional investor monitoring on earnings attributes in US cross-listed stocks (Q6540719) (← links)
- Prewhitened long-run variance estimation robust to nonstationarity (Q6573810) (← links)
- Frisch-Waugh-Lovell theorem-type results for the k-class and 2SGMM estimators (Q6589429) (← links)
- Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets (Q6592282) (← links)
- Multivariate normality tests for serially correlated data (Q6605919) (← links)
- Detection of a structural break in intraday volatility pattern (Q6615474) (← links)
- Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts (Q6616625) (← links)
- In the praise of Prais-Winsten: an evaluation of methods used to account for autocorrelation in interrupted time series (Q6617484) (← links)
- GMM Estimation of Non-Gaussian Structural Vector Autoregression (Q6617737) (← links)
- Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models (Q6617757) (← links)
- Generic Conditions for Forecast Dominance (Q6617816) (← links)
- Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation (Q6620845) (← links)
- A Simple Asymptotically <i>F</i>-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations (Q6620880) (← links)
- Confidence Bands for ROC Curves With Serially Dependent Data (Q6623168) (← links)
- Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice” (Q6623205) (← links)
- Comment on "HAR Inference: Recommendations for Practice" (Q6623208) (← links)
- Bayesian reconciliation of return predictability (Q6645244) (← links)
- Reprint of: The likelihood ratio test for structural changes in factor models (Q6664647) (← links)
- Some fixed-\(b\) results for regressions with high frequency data over long spans (Q6664653) (← links)
- Testing for strong exogeneity in proxy-VARs (Q6664665) (← links)
