Computational Statistics & Data Analysis

1983 - 2025

Current editor(s): S.P. Azen

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Volume 76, issue C, 2014

The univariate MT-STAR model and a new linearity and unit root test procedure pp. 4-19

Peter Martey Addo, Monica Billio and Dominique Guégan

Sovereign credit ratings, market volatility, and financial gains pp. 20-33

Antonio Afonso, Pedro Gomes and Abderrahim Taamouti

Maximum likelihood estimates for positive valued dynamic score models; The DySco package pp. 34-42

Philipp Andres

Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks pp. 43-60

Francesco Audrino

Maximum likelihood estimation of the Markov-switching GARCH model pp. 61-75

Maciej Augustyniak

Modeling tails of aggregate economic processes in a stochastic growth model pp. 76-94

Stéphane Auray, Aurélien Eyquem and Frédéric Jouneau-Sion

Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle pp. 95-115

Oualid Bada and Alois Kneip

Modified information criteria and selection of long memory time series models pp. 116-131

Richard T. Baillie, George Kapetanios and Fotis Papailias

On the usefulness of cross-validation for directional forecast evaluation pp. 132-143

Christoph Bergmeir, Mauro Costantini and José M. Benítez

Long memory with stochastic variance model: A recursive analysis for US inflation pp. 144-157

Charles Bos, Siem Jan Koopman and Marius Ooms

Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood pp. 158-171

Giorgio Calzolari, Roxana Halbleib and Alessandro Parrini

Robust ranking of multivariate GARCH models by problem dimension pp. 172-185

Massimiliano Caporin and Michael McAleer

Modelling breaks and clusters in the steady states of macroeconomic variables pp. 186-193

Joshua Chan and Gary Koop

Bayesian estimation of smoothly mixing time-varying parameter GARCH models pp. 194-209

Cathy W. S. Chen, Richard Gerlach and Edward Lin

Multivariate GARCH estimation via a Bregman-proximal trust-region method pp. 210-236

Stéphane Chrétien and Juan-Pablo Ortega

Numerical distribution functions for seasonal unit root tests pp. 237-247

Ignacio Díaz-Emparanza

Testing for serial independence of panel errors pp. 248-261

Zaichao Du

Multiple break detection in the correlation structure of random variables pp. 262-282

Pedro Galeano and Dominik Wied

Interest rate spreads and output: A time scale decomposition analysis using wavelets pp. 283-290

Marco Gallegati, James B. Ramsey and Willi Semmler

Comparison of specification tests for GARCH models pp. 291-300

Kilani Ghoudi and Bruno Rémillard

When long memory meets the Kalman filter: A comparative study pp. 301-319

Stefano Grassi and Paolo Santucci de Magistris

EGARCH models with fat tails, skewness and leverage pp. 320-338

Andrew Harvey and Genaro Sucarrat

Infinite-order, long-memory heterogeneous autoregressive models pp. 339-358

Eunju Hwang and Dong Wan Shin

Estimation of risk measures in energy portfolios using modern copula techniques pp. 359-376

Stefan Jäschke

Panel cointegration testing in the presence of a time trend pp. 377-390

Deniz Karaman Örsal and Bernd Droge

Testing for unit roots in short panels allowing for a structural break pp. 391-407

Yiannis Karavias and Elias Tzavalis

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models pp. 408-423

Gregor Kastner and Sylvia Frühwirth-Schnatter

Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models pp. 424-448

Jan Kiviet and Garry D.A. Phillips

Efficient importance sampling in mixture frameworks pp. 449-463

Tore Kleppe and Roman Liesenfeld

The indirect continuous-GMM estimation pp. 464-488

Rachidi Kotchoni

A likelihood ratio type test for invertibility in moving average processes pp. 489-501

Rolf Larsson

Testing for persistence change in fractionally integrated models: An application to world inflation rates pp. 502-522

Luis Martins and Paulo Rodrigues

SCOMDY models based on pair-copula constructions with application to exchange rates pp. 523-535

Aleksey Min and Claudia Czado

Forecasting with a noncausal VAR model pp. 536-555

Henri Nyberg and Pentti Saikkonen

Variance clustering improved dynamic conditional correlation MGARCH estimators pp. 556-576

Gian Piero Aielli and Massimiliano Caporin

A joint test for structural stability and a unit root in autoregressions pp. 577-587

Jean-Yves Pitarakis

Bayesian option pricing using mixed normal heteroskedasticity models pp. 588-605

Jeroen V.K. Rombouts and Lars Stentoft

Dynamic factor multivariate GARCH model pp. 606-617

Andre Santos and Guilherme Moura

Realized stochastic volatility with leverage and long memory pp. 618-641

Shinichiro Shirota, Takayuki Hizu and Yasuhiro Omori

A flexible and automated likelihood based framework for inference in stochastic volatility models pp. 642-654

Hans J. Skaug and Jun Yu

Vine-copula GARCH model with dynamic conditional dependence pp. 655-671

Mike K.P. So and Cherry Y.T. Yeung

Regime switches in the dependence structure of multidimensional financial data pp. 672-686

Jakob Stöber and Claudia Czado

Extended stochastic volatility models incorporating realised measures pp. 687-707

J.H. Venter and P.J. de Jongh

Optimal design of Fourier estimator in the presence of microstructure noise pp. 708-722

Fangfang Wang

A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution pp. 723-736

Dominik Wied, Herold Dehling, Maarten van Kampen and Daniel Vogel

Solving norm constrained portfolio optimization via coordinate-wise descent algorithms pp. 737-759

Yu-Min Yen and Tso-Jung Yen

Volume 75, issue C, 2014

Kalman filter variants in the closed skew normal setting pp. 1-14

Javad Rezaie and Jo Eidsvik

A joint convex penalty for inverse covariance matrix estimation pp. 15-27

Ashwini Maurya

Bayesian estimation of adaptive bandwidth matrices in multivariate kernel density estimation pp. 28-38

Nabil Zougab, Smail Adjabi and Célestin C. Kokonendji

Group subset selection for linear regression pp. 39-52

Yi Guo, Mark Berman and Junbin Gao

Bayesian variable selection under the proportional hazards mixed-effects model pp. 53-65

Kyeong Eun Lee, Yongku Kim and Ronghui Xu

Robust estimation of the parameters of g-and-h distributions, with applications to outlier detection pp. 66-80

Yihuan Xu, Boris Iglewicz and Inna Chervoneva

Classification of molecular sequence data using Bayesian phylogenetic mixture models pp. 81-95

E. Loza-Reyes, M.A. Hurn and A. Robinson

Lower confidence limit for reliability based on grouped data using a quantile-filling algorithm pp. 96-111

Mimi Zhang, Qingpei Hu, Min Xie and Dan Yu

Nonnegative bias reduction methods for density estimation using asymmetric kernels pp. 112-123

Masayuki Hirukawa and Mari Sakudo

A random-projection based test of Gaussianity for stationary processes pp. 124-141

Alicia Nieto-Reyes, Juan Antonio Cuesta-Albertos and Fabrice Gamboa

A frame based shrinkage procedure for fast oscillating functions pp. 142-150

Daniela De Canditiis

Consistency-adjusted alpha allocation methods for a time-to-event analysis of composite endpoints pp. 151-161

G. Rauch, M. Wirths and M. Kieser

Family of power divergence spatial scan statistics pp. 162-178

Tonglin Zhang and Ge Lin

A frequency domain test for detecting nonstationary time series pp. 179-189

Yen-Hung Chen and Nan-Jung Hsu

Choice of generalized linear mixed models using predictive crossvalidation pp. 190-202

Julia Braun, Daniel Sabanés Bové and Leonhard Held

Finding the limit of diverging components in three-way Candecomp/Parafac—A demonstration of its practical merits pp. 203-216

Alwin Stegeman

The influence of a covariate on optimal designs in longitudinal studies with discrete-time survival endpoints pp. 217-226

Maryam Safarkhani and Mirjam Moerbeek

Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components pp. 227-238

Sándor Baran

A hybrid approach for regression analysis with block missing data pp. 239-247

Zhengbang Li, Qizhai Li, Chien-Pai Han and Bo Li

Computing confidence intervals for log-concave densities pp. 248-264

Mahdis Azadbakhsh, Hanna Jankowski and Xin Gao