Selective Linear Segmentation for Detecting Relevant Parameter Changes.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 762, doi. 10.1093/jjfinec/nbaa032
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2022 AND VI 20 AND IP 4
Results: 6
1
2
Forecasting VIX Using Filtered Historical Simulation.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 655, doi. 10.1093/jjfinec/nbaa041
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- Publication type:
- Article
3
Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets.
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- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 681, doi. 10.1093/jjfinec/nbaa039
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- Publication type:
- Article
4
Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 612, doi. 10.1093/jjfinec/nbaa028
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- Publication type:
- Article
5
Bayesian Selection of Asset Pricing Factors Using Individual Stocks.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 716, doi. 10.1093/jjfinec/nbaa045
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- Publication type:
- Article
6
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 569, doi. 10.1093/jjfinec/nbaa020
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- Publication type:
- Article