Conditional autoregressive <math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e992" altimg="si1.svg" class="math"><mi mathvariant="script">G</mi></math> model for common factor detection in the stock market
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Econometrics
- Publisher:
- Elsevier
- ISSN:
- 2468-0389
- Category:
- ECONOMICS
- Impact factor:
- 1.1
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16 parsed articles
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Latest articles
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
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Bayesian principal stratification with longitudinal data and truncation by death
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Spectral Omnibus test for cross-sectional dependence in panel models
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Two-stage weighted least squares estimator of multivariate non-negative observation-driven models
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Nearest neighbor matching: M-out-of-N bootstrapping without bias correction vs. the naive bootstrap
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Nonparametric estimation of copulas and copula densities by orthogonal projections
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Addressing regressors’ endogeneity and the identification of true parameters
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A perturbation robust test against spurious long memory
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GMM Model Averaging Using Higher Order Approximations
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Testing for the cointegration rank between periodically integrated processes
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Long-horizon return predictability from realized volatility in pure-jump point processes
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Block whittle estimation of time-varying stochastic regression models with long memory
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A new test for common breaks in heterogeneous panel data models
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Technical efficiency and inefficiency: Reliability of standard SFA models and a misspecification problem
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Long-term investing under uncertain parameter instability
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