Econometrics and Statistics
Green Table of Contents, October 2019
Volume 12
Pages 1-216
The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016
Changli He, Jian Kang, Timo Teräsvirta, Shuhua Zhang
Pages 1-24
Particle filtering, learning, and smoothing for mixed-frequency state-space models
Markus Leippold, Hanlin Yang
Pages 25-41
Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
Claudio Morana
Pages 42-65
Local Whittle estimation of long memory: Standard versus bias-reducing techniques
Javier García-Enríquez, Javier Hualde
Pages 66-77
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Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach
Robert L. Czudaj
Pages 78-145
The class of copulas arising from squared distributions: Properties and inference
Jean-François Quessy, Martin Durocher
Pages 148-166
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Copula information criterion for model selection with two-stage maximum likelihood estimation
Vinnie Ko, Nils Lid Hjort
Pages 167-180
Flexible dynamic vine copula models for multivariate time series data
Elif F. Acar, Claudia Czado, Martin Lysy
Pages 181-197
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Modelling temporal dependence of realized variances with vines
Claudia Czado, Eugen Ivanov, Yarema Okhrin
Pages 198-216
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