Fractional stochastic volatility model.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 378, doi. 10.1111/jtsa.12749
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- Publication type:
- Article
Works matching IS 01439782 AND DT 2025 AND VI 46 AND IP 2
Results: 11
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Ridge regularized estimation of VAR models for inference.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 235, doi. 10.1111/jtsa.12737
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- Publication type:
- Article
3
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024.
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- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 213, doi. 10.1111/jtsa.12816
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- Article
4
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 214, doi. 10.1111/jtsa.12814
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- Publication type:
- Article
5
High‐Frequency Instruments and Identification‐Robust Inference for Stochastic Volatility Models.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 216, doi. 10.1111/jtsa.12812
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- Publication type:
- Article
6
The Liquidity Uncertainty Premium Puzzle.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 286, doi. 10.1111/jtsa.12802
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- Publication type:
- Article
7
Risk parity portfolio optimization under heavy‐tailed returns and dynamic correlations.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 353, doi. 10.1111/jtsa.12792
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- Publication type:
- Article
8
Generalized covariance‐based inference for models set‐identified from independence restrictions.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 300, doi. 10.1111/jtsa.12779
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- Publication type:
- Article
9
Non‐causal and non‐invertible ARMA models: Identification, estimation and application in equity portfolios.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 325, doi. 10.1111/jtsa.12776
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- Publication type:
- Article
10
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 258, doi. 10.1111/jtsa.12769
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- Publication type:
- Article
11
Issue Information.
- Published in:
- Journal of Time Series Analysis, 2025, v. 46, n. 2, p. 211, doi. 10.1111/jtsa.12753
- Publication type:
- Article