Econometrics and Statistics

2017 - 2025

Current editor(s): E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

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Volume 1, issue C, 2017

Econometrics and Statistics pp. 1-1

Erricos Kontoghiorghes, Herman van Dijk and Ana Colubi

Structural vector autoregressions with heteroskedasticity: A review of different volatility models pp. 2-18

Helmut Lütkepohl and Aleksei Netšunajev

Asymmetric stable Paretian distribution testing pp. 19-39

Marc S. Paolella

A dynamic component model for forecasting high-dimensional realized covariance matrices pp. 40-61

Luc Bauwens, Manuela Braione and Giuseppe Storti

Combined Lagrange multiplier test for ARCH in vector autoregressive models pp. 62-84

Paul Catani and N.J.C. Ahlgren

Singular Spectrum Analysis for signal extraction in Stochastic Volatility models pp. 85-98

Josu Arteche and Javier García-Enríquez

Special issue on functional data analysis pp. 99-100

Piotr Kokoszka, Hanny Oja, Byeong Park and Laura Sangalli

Change point and trend analyses of annual expectile curves of tropical storms pp. 101-117

Petra Burdejová, W. Härdle, P. Kokoszka and Q. Xiong

On the consistency of bootstrap methods in separable Hilbert spaces pp. 118-127

Gil González-Rodríguez and Ana Colubi

Prediction of functional ARMA processes with an application to traffic data pp. 128-149

J. Klepsch, C. Klüppelberg and T. Wei

Multinomial functional regression with wavelets and LASSO penalization pp. 150-166

Seyed Nourollah Mousavi and Helle Sørensen

High-dimensional adaptive function-on-scalar regression pp. 167-183

Zhaohu Fan and Matthew Reimherr

Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration pp. 184-200

Han Lin Shang