Time Series Concepts for Conditional Distributions
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References listed on IDEAS
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chen, Xiaohong & Liao, Zhipeng & Sun, Yixiao, 2014. "Sieve inference on possibly misspecified semi-nonparametric time series models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 639-658.
- Sarno, Lucio & Valente, Giorgio, 2005.
"Empirical exchange rate models and currency risk: some evidence from density forecasts,"
Journal of International Money and Finance,
Elsevier, vol. 24(2), pages 363-385, March.
- Giorgio Valente & Lucio Sarno, 2004. "Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts," Working Papers wp04-10, Warwick Business School, Finance Group.
- Katja Ignatieva & Eckhard Platen, 2010.
"Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 261-302, September.
- Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
- Giacomini, Enzo & HÃ¤rdle, Wolfgang & Spokoiny, Vladimir, 2009.
"Inhomogeneous Dependence Modeling with Time-Varying Copulae,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 27(2), pages 224-234.
- Enzo Giacomini & Wolfgang Härdle & Ekaterina Ignatieva & Vladimir Spokoiny, 2006. "Inhomogeneous Dependency Modelling with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2006-075, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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