Publication date: October 2023
Source: Econometrics and Statistics, Volume 28
Author(s): Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon
Author Archives: ScienceDirect Publication: Econometrics and Statistics
Editorial Board
Publication date: October 2023
Source: Econometrics and Statistics, Volume 28
Author(s):
Vine Copula based Portfolio Level Conditional Risk Measure Forecasting
Publication date: Available online 21 August 2023
Source: Econometrics and Statistics
Author(s): Emanuel Sommer, Karoline Bax, Claudia Czado
A computationally efficient mixture innovation model for time-varying parameter regressions
Publication date: Available online 12 August 2023
Source: Econometrics and Statistics
Author(s): Zhongfang He
Estimation of Extreme Risk Measures for Stochastic Volatility Models with Long Memory and Heavy Tails
Publication date: Available online 22 July 2023
Source: Econometrics and Statistics
Author(s): Clémonell Bilayi-Biakana, Gail Ivanoff, Rafał Kulik
Robust empirical risk minimization via Newton’s method
Publication date: Available online 20 July 2023
Source: Econometrics and Statistics
Author(s): Eirini Ioannou, Muni Sreenivas Pydi, Po-Ling Loh
Macroeconomic uncertainty and vector autoregressions
Publication date: Available online 16 July 2023
Source: Econometrics and Statistics
Author(s): Mario Forni, Luca Gambetti, Luca Sala
A novel estimation procedure for robust CANDECOMP/PARAFAC model fitting
Publication date: Available online 13 July 2023
Source: Econometrics and Statistics
Author(s): Valentin Todorov, Violetta Simonacci, Michele Gallo, Nikolay Trendafilov
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation
Publication date: Available online 3 July 2023
Source: Econometrics and Statistics
Author(s): Zhihao Xu, Clifford M. Hurvich
A Weissman-type estimator of the conditional marginal expected shortfall
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Yuri Goegebeur, Armelle Guillou, Nguyen Khanh Le Ho, Jing Qin