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Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
16 references·0 citing·44 second hop
Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation (2020)Mean-Structure and Autocorrelation Consis…HAR Inference: Recommendations for Practice (2018)HAR Inference: Recommendation…Uniform change point tests in high dimension (2015)Uniform change point tests in…HAC Corrections for Strongly Autocorrelated Time Series (2014)HAC Corrections for Strongly …HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (2011)HIGHER-ORDER ACCURATE, POSITI…Testing for Change Points in Time Series (2010)Testing for Change Points in …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Modelling structural breaks, long memory and stock market volatility: an overview (2004)Modelling structural breaks, …Strong rules for detecting the number of breaks in a time series (2003)Strong rules for detecting th…Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series (1999)Sources of nonmonotonic power…Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Optimal Mean-Squared-Error Batch Sizes (1995)Optimal Mean-Squared-Error Ba…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Tests for Hurst Effect (1987)Tests for Hurst EffectOverlapping batch means: something for nothing? (1984)Overlapping batch means: some…Fractional Brownian Motions, Fractional Noises and Applications (1968)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Efficient Tests of Nonstationary Hypotheses (1994)Gaussian Semiparametric Estimation of Long Range Dependence (1995)Long memory processes and fractional integration in econometrics (1996)Time Series Regression with a Unit Root (1987)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features (2019)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Principles of Discrete Event Simulation. (1980)Batch Size Effects in the Analysis of Simulation Output (1982)A Guide to Simulation (1983)An Implementation of the Batch Means Method (1997)On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Testing for cointegration using principal components methods (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Comparing Predictive Accuracy (1994)The Volatility of Realized Volatility (2008)Volatility Is Rough (2018)An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)Bond Risk Premia with Machine Learning (2018)Asset Pricing with Fading Memory (2021)Local Projection Inference Is Simpler and More Robust Than You Think (2021)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Testing for Error Correction in Panel Data* (2007)Dealing with Structural Breaks (2005)Structural breaks in time series (2012)Selective review of offline change point detection methods (2019)
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1987Tests for Hurst Effect544 cited
  • 2010Testing for Change Points in Time Series253 cited
  • 2018HAR Inference: Recommendations for Practice229 cited
  • 2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
  • 1984Overlapping batch means: something for nothing?221 cited
  • 1995Optimal Mean-Squared-Error Batch Sizes174 cited
  • 2015Uniform change point tests in high dimension132 cited
  • 2014HAC Corrections for Strongly Autocorrelated Time Series118 cited
  • 2003Strong rules for detecting the number of breaks in a time series117 cited
  • 1999Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series112 cited

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2011
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
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