Paap, R. and Franses, P.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247.
8 key publications
filtered by:
-
-
Mayer, A., Wied, D. and Troster, V. (2025). Quantile Granger causality in the presence of instability☆ Journal of Econometrics, 249. -
Camehl, A., Fok, D. and Gruber, K. (2025). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249. -
Kleibergen, F. and Zhan, Z. (2025). Risk premia from the cross-section of individual assets Journal of Econometrics, 252(A). -
Einmahl, JohnH.J., Krajina, A. and Cai, J.J. (2025). Empirical likelihood based testing for multivariate regular variation Annals of Statistics, 53(1):352--373. -
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248. -
Blasques, F., Gorgi, P. and Koopman, S.J. (2025). Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models Journal of Business and Economic Statistics, 43(4):926--940. -
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2025). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304.