Econometrics and Statistics

Title Publication Date Language Citations
Prediction of functional ARMA processes with an application to traffic data2017/01/01English47
Microeconometric dynamic panel data methods: Model specification and selection issues2020/01/01English35
Estimating MIDAS regressions via OLS with polynomial parameter profiling2019/01/01English32
Structural vector autoregressions with heteroskedasticity: A review of different volatility models2017/01/01English31
An information theoretic criterion for empirical validation of simulation models2018/01/01English31
Bias-corrected method of moments estimators for dynamic panel data models2022/10/01English30
Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models2017/07/01English28
Combining Value-at-Risk forecasts using penalized quantile regressions2018/10/01English25
Rage Against the Mean – A Review of Distributional Regression Approaches2023/04/01English21
A dynamic component model for forecasting high-dimensional realized covariance matrices2017/01/01English21
Fast and reliable computation of generalized synthetic controls2018/01/01English21
Change point detection in heteroscedastic time series2018/07/01English21
High-dimensional adaptive function-on-scalar regression2017/01/01English20
Robust normal mixtures for financial portfolio allocation2017/07/01English18
Robust Monitoring of Time Series with Application to Fraud Detection2019/01/01English14
Joint estimation of multiple network Granger causal models2019/04/01English13
Robust Discovery of Regression Models2023/04/01English13
A tractable, parsimonious and flexible model for cylindrical data, with applications2017/10/01English13
Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior2019/07/01English12
Flexible dynamic vine copula models for multivariate time series data2019/10/01English12
Cholesky realized stochastic volatility model2017/07/01English12
The dynamics of U.S. industrial production: A time-varying Granger causality perspective2021/10/01English12
Flexible copula models with dynamic dependence and application to financial data2020/10/01English12
Detecting changes in the covariance structure of functional time series with application to fMRI data2021/04/01English11
Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence2022/07/01English11
Assessing causality and delay within a frequency band2018/04/01English11
Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions2018/04/01English11
Instrument-free inference under confined regressor endogeneity and mild regularity2023/01/01English11
Data segmentation algorithms: Univariate mean change and beyond2024/04/01English11
A UK financial conditions index using targeted data reduction: Forecasting and structural identification2018/07/01English11