Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s):
Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Marc Hallin, Carlos Trucíos
A Multivariate Randomized Response Model for Sensitive Binary Data
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Amanda M.Y. Chu, Yasuhiro Omori, Hing-yu So, Mike K.P. So
Robust Covariance Matrix Estimation in Time Series: A Review
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Masayuki Hirukawa
Seasonality in High Frequency Time Series
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Tommaso Proietti, Diego J. Pedregal
A Two-Way Transformed Factor Model for Matrix-Variate Time Series
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Zhaoxing Gao, Ruey S. Tsay
Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s <math xmlns:mml=”http://www.w3.org/1998/Math/MathML” altimg=”si7.svg” class=”math”><mi>g</mi></math> Prior for Predictive Robustness
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Christopher M. Hans, Mario Peruggia, Junyan Wang
Inner spike and slab Bayesian nonparametric models
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Antonio Canale, Antonio Lijoi, Bernardo Nipoti, Igor Prünster
Bayesian estimation for mode and anti-mode preserving circular distributions
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Toshihiro Abe, Yoichi Miyata, Takayuki Shiohama
Bayesian analysis for mediation and moderation using <math xmlns:mml=”http://www.w3.org/1998/Math/MathML” altimg=”si30.svg” class=”math”><mrow><mi>g</mi><mo linebreak=”goodbreak”>−</mo></mrow></math>priors.
Publication date: July 2023
Source: Econometrics and Statistics, Volume 27
Author(s): Jean-Michel Galharret, Anne Philippe