Zobrazeno 1 - 10
of 105
pro vyhledávání: '"Cubadda, Gianluca"'
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi-parametric method that minimizes an objective function without making
Externí odkaz:
http://arxiv.org/abs/2306.14653
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio test and
Externí odkaz:
http://arxiv.org/abs/2207.11557
Publikováno v:
In International Journal of Forecasting January-March 2025 41(1):175-190
Autor:
Cubadda, Gianluca, Hecq, Alain
This paper aims to decompose a large dimensional vector autoregessive (VAR) model into two components, the first one being generated by a small-scale VAR and the second one being a white noise sequence. Hence, a reduced number of common components ge
Externí odkaz:
http://arxiv.org/abs/2009.03361
Publikováno v:
Statistics & Computing; Aug2024, Vol. 34 Issue 4, p1-20, 20p
Akademický článek
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Publikováno v:
In International Journal of Forecasting January-March 2019 35(1):67-79
Autor:
Cubadda, Gianluca1 (AUTHOR) gianluca.cubadda@uniroma2.it, Hecq, Alain2 (AUTHOR) a.hecq@maastrichtuniversity.nl, Voisin, Elisa2 (AUTHOR)
Publikováno v:
Econometrics (2225-1146). Mar2023, Vol. 11 Issue 1, p9. 16p.
Autor:
Cubadda, Gianluca1 (AUTHOR) gianluca.cubadda@uniroma2.it, Hecq, Alain2 (AUTHOR) a.hecq@maastrichtuniversity.nl
Publikováno v:
Oxford Bulletin of Economics & Statistics. Oct2022, Vol. 84 Issue 5, p1123-1152. 30p. 9 Charts, 2 Graphs.
Autor:
del Barrio Castro, Tomás1 (AUTHOR) tomas.barrio@uib.es, Cubadda, Gianluca2 (AUTHOR), Osborn, Denise R.3 (AUTHOR)
Publikováno v:
Journal of Time Series Analysis. May2022, Vol. 43 Issue 3, p412-435. 24p.