Dynamic Autoregressive Liquidity (DArLiQ) (English)
- New search for: Hafner, Christian M.
- New search for: Linton, Oliver B.
- New search for: Wang, Linqi
- New search for: Hafner, Christian M.
- New search for: Linton, Oliver B.
- New search for: Wang, Linqi
In:
Journal of Business & Economic Statistics
;
42
, 2
;
774-785
;
2024
- Article (Journal) / Electronic Resource
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Title:Dynamic Autoregressive Liquidity (DArLiQ)
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Contributors:
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Published in:Journal of Business & Economic Statistics ; 42, 2 ; 774-785
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Publisher:
- New search for: Taylor & Francis
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Publication date:2024-04-02
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Size:12 pages
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Electronic Resource
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Language:English
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Keywords:
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Source:
Table of contents – Volume 42, Issue 2
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 347
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Introduction to the Special Issue on Statistics of Dynamic NetworksHärdle, Wolfgang / Schienled, Melanie et al. | 2024
- 349
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Modeling Functional Time Series and Mixed-Type Predictors With Partially Functional AutoregressionsXu, Xiaofei / Chen, Ying / Zhang, Ge / Koch, Thorsten et al. | 2024
- 367
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Dynamic Peer Groups of Arbitrage CharacteristicsGe, Shuyi / Li, Shaoran / Linton, Oliver et al. | 2024
- 391
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Monitoring Network Changes in Social MediaChen, Cathy Yi-Hsuan / Okhrin, Yarema / Wang, Tengyao et al. | 2024
- 407
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Dynamic Network Quantile Regression ModelXu, Xiu / Wang, Weining / Shin, Yongcheol / Zheng, Chaowen et al. | 2024
- 422
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Large Spillover Networks of Nonstationary SystemsChen, Shi / Schienle, Melanie et al. | 2024
- 437
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A Time-Varying Network for CryptocurrenciesGuo, Li / Härdle, Wolfgang Karl / Tao, Yubo et al. | 2024
- 457
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Testing For Global Covariate Effects in Dynamic Interaction Event NetworksKreiss, Alexander / Mammen, Enno / Polonik, Wolfgang et al. | 2024
- 469
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Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI StockYang, Ye / Doğan, Osman / Inar, Süleyman Taşp et al. | 2024
- 485
-
Backtesting Systemic Risk Forecasts Using Multi-Objective ElicitabilityFissler, Tobias / Hoga, Yannick et al. | 2024
- 499
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Bonferroni Type Tests for Return Predictability and the Initial ConditionAstill, Sam / Harvey, David I. / Leybourne, Stephen J. / Taylor, A. M. Robert et al. | 2024
- 516
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Jumps or Staleness?Kolokolov, Aleksey / Renò, Roberto et al. | 2024
- 533
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Estimation and Inference on Time-Varying FAVAR ModelsFu, Zhonghao / Su, Liangjun / Wang, Xia et al. | 2024
- 548
-
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility ModelsChen, Dachuan / Li, Chenxu / Tang, Cheng Yong / Yan, Jun et al. | 2024
- 563
-
Simple Inference on Functionals of Set-Identified Parameters Defined by Linear MomentsCho, JoonHwan / Russell, Thomas M. et al. | 2024
- 579
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Links and Legibility: Making Sense of Historical U.S. Census Automated Linking MethodsGhosh, Arkadev / Hwang, Sam Il Myoung / Squires, Munir et al. | 2024
- 591
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Estimating a Continuous Treatment Model with Spillovers: A Control Function ApproachHoshino, Tadao et al. | 2024
- 603
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Neural Networks for Partially Linear Quantile RegressionZhong, Qixian / Wang, Jane-Ling et al. | 2024
- 615
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Tie-Break Bootstrap for Nonparametric Rank StatisticsSeo, Juwon et al. | 2024
- 628
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Bootstrap Inference for Panel Data Quantile RegressionGalvao, Antonio F. / Parker, Thomas / Xiao, Zhijie et al. | 2024
- 640
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Adaptive Testing for Alphas in High-Dimensional Factor Pricing ModelsXia, Qiang / Zhang, Xianyang et al. | 2024
- 654
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Uniform Nonparametric Inference for Spatially Dependent Panel DataLi, Jia / Liao, Zhipeng / Zhou, Wenyu et al. | 2024
- 665
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A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*Morley, James / Tran, Trung Duc / Wong, Benjamin et al. | 2024
- 681
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Asset Pricing via the Conditional Quantile Variational AutoencoderYang, Xuanling / Zhu, Zhoufan / Li, Dong / Zhu, Ke et al. | 2024
- 695
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Consistent Estimation of Multiple Breakpoints in Dependence MeasuresBorsch, Marvin / Mayer, Alexander / Wied, Dominik et al. | 2024
- 707
-
Model-Assisted Complier Average Treatment Effect Estimates in Randomized Experiments with NoncomplianceRen, Jiyang et al. | 2024
- 719
-
A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point TestsCheng, Cheuk Hin / Chan, Kin Wai et al. | 2024
- 732
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Instrumental Variable Estimation of Dynamic Treatment Effects on a Duration OutcomeBeyhum, Jad / Centorrino, Samuele / Florens, Jean-Pierre / Van Keilegom, Ingrid et al. | 2024
- 743
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An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive EffectsKapetanios, George / Serlenga, Laura / Shin, Yongcheol et al. | 2024
- 762
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A Design-Based Perspective on Synthetic Control MethodsBottmer, Lea / Imbens, Guido W. / Spiess, Jann / Warnick, Merrill et al. | 2024
- 774
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Dynamic Autoregressive Liquidity (DArLiQ)Hafner, Christian M. / Linton, Oliver B. / Wang, Linqi et al. | 2024
- 786
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Generalized Autoregressive Positive-valued ProcessesFeunou, Bruno et al. | 2024
- 801
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Generalizing the Results from Social Experiments: Theory and Evidence from IndiaGechter, Michael et al. | 2024
- 812
-
Extreme Changes in ChangesSasaki, Yuya / Wang, Yulong et al. | 2024
- 825
-
Large Order-Invariant Bayesian VARs with Stochastic VolatilityChan, Joshua C. C. / Koop, Gary / Yu, Xuewen et al. | 2024