CSpace

Browse/Search Results:  1-10 of 15 Help

Selected(0)Clear Items/Page:    Sort:
Model averaging based on leave-subject-out cross-validation for vector autoregressions 期刊论文
JOURNAL OF ECONOMETRICS, 2019, 卷号: 209, 期号: 1, 页码: 35-60
Authors:  Liao, Jun;  Zong, Xianpeng;  Zhang, Xinyu;  Zou, Guohua
Favorite  |  View/Download:2/0  |  Submit date:2020/01/10
Asymptotic optimality  Consistency  Leave-subject-out cross-validation  Model averaging  Vector autoregressions  
Threshold autoregressive models for interval-valued time series data 期刊论文
JOURNAL OF ECONOMETRICS, 2018, 卷号: 206, 期号: 2, 页码: 414-446
Authors:  Sun, Yuying;  Han, Ai;  Hong, Yongmiao;  Wang, Shouyang
Favorite  |  View/Download:10/0  |  Submit date:2018/11/16
Asymmetric reaction  Interval-valued data  Minimum distance estimation  Nonlinearity  Symbolic data  Threshold autoregressive interval models  
Spatial weights matrix selection and model averaging for spatial autoregressive models 期刊论文
JOURNAL OF ECONOMETRICS, 2018, 卷号: 203, 期号: 1, 页码: 1-18
Authors:  Zhang, Xinyu;  Yu, Jihai
Favorite  |  View/Download:7/0  |  Submit date:2018/07/30
Model averaging  Model selection  Spatial autoregressive  Spatial econometrics  
Spatial weights matrix selection and model averaging for spatial autoregressive models 期刊论文
JOURNAL OF ECONOMETRICS, 2018, 卷号: 203, 期号: 1, 页码: 1
Authors:  Zhang, Xinyu;  Yu, Jihai
Favorite  |  View/Download:3/0  |  Submit date:2019/12/31
Threshold autoregressive models for interval-valued time series data 期刊论文
JOURNAL OF ECONOMETRICS, 2018, 卷号: 206, 期号: 2, 页码: 414
Authors:  Sun, Yuying;  Han, Ai;  Hong, Yongmiao;  Wang, Shouyang
Favorite  |  View/Download:2/0  |  Submit date:2019/12/31
Model averaging based on leave-subject-out cross-validation 期刊论文
JOURNAL OF ECONOMETRICS, 2016, 卷号: 192, 期号: 1, 页码: 139-151
Authors:  Gao, Yan;  Zhang, Xinyu;  Wang, Shouyang;  Zou, Guohua
Favorite  |  View/Download:6/0  |  Submit date:2018/07/30
Asymptotic optimality  Leave-subject-out cross-validation  Longitudinal data  Model averaging  Time series  
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 189, 期号: 2, 页码: 313-320
Authors:  Chen, Min;  Zhu, Ke
Favorite  |  View/Download:4/0  |  Submit date:2018/07/30
ARCH-type model  Heavy-tailed innovation  LAD estimator  Model diagnostics  Sign-based portmanteau test  
Model-based pricing for financial derivatives 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 187, 期号: 2, 页码: 447-457
Authors:  Zhu, Ke;  Ling, Shiqing
Favorite  |  View/Download:6/0  |  Submit date:2018/07/30
NGARCH  EGARCH and GJR models  Non-normal innovation  Option valuation  Risk neutralized measure  Volatility skew  
A bootstrapped spectral test for adequacy in weak ARMA models 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 187, 期号: 1, 页码: 113-130
Authors:  Zhu, Ke;  Li, Wai Keung
Favorite  |  View/Download:3/0  |  Submit date:2018/07/30
Block-wise random weighting method  Diagnostic checking  Least squares estimation  Spectral test  Weak ARMA models  Wild bootstrap  
Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance 期刊论文
JOURNAL OF ECONOMETRICS, 2010, 卷号: 159, 期号: 1, 页码: 183-201
Authors:  Zhou, Yong;  Wan, Alan T. K.;  Xie, Shangyu;  Wang, Xiaojing
Favorite  |  View/Download:6/0  |  Submit date:2018/07/30
lambda-sharp cusp  Asymptotic Distribution  Convergence  Discretized estimator  Integral estimator  Jump  Leave-one-out cross validation  Lipschitz continuous  Normal distribution  Resolution level selection