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@article{DBLP:journals/csda/AljJM16,
author = {Abdelkamel Alj and
Kristj{\'{a}}n J{\'{o}}nasson and
Guy M{\'{e}}lard},
title = {The exact Gaussian likelihood estimation of time-dependent {VARMA}
models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {633--644},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.07.006},
doi = {10.1016/J.CSDA.2014.07.006},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/AljJM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/ArtecheO16,
author = {Josu Arteche and
Jesus Orbe},
title = {A bootstrap approximation for the distribution of the Local Whittle
estimator},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {645--660},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.03.014},
doi = {10.1016/J.CSDA.2015.03.014},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/ArtecheO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BaileyG16,
author = {Natalia Bailey and
Liudas Giraitis},
title = {Spectral approach to parameter-free unit root testing},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {4--16},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.05.002},
doi = {10.1016/J.CSDA.2015.05.002},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BaileyG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BauwensGO16,
author = {Luc Bauwens and
Lyudmila Grigoryeva and
Juan{-}Pablo Ortega},
title = {Estimation and empirical performance of non-scalar dynamic conditional
correlation models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {17--36},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.02.013},
doi = {10.1016/J.CSDA.2015.02.013},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/BauwensGO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BauwensKMO16,
author = {Luc Bauwens and
Gary Koop and
John M. Maheu and
Yasuhiro Omori},
title = {Special issue on Bayesian econometrics},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {794},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2016.02.007},
doi = {10.1016/J.CSDA.2016.02.007},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BauwensKMO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BillioCO16,
author = {Monica Billio and
Roberto Casarin and
Anthony Osuntuyi},
title = {Efficient Gibbs sampling for Markov switching {GARCH} models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {37--57},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.04.011},
doi = {10.1016/J.CSDA.2014.04.011},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BillioCO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BisagliaC16,
author = {Luisa Bisaglia and
Antonio Canale},
title = {Bayesian nonparametric forecasting for {INAR} models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {70--78},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.12.011},
doi = {10.1016/J.CSDA.2014.12.011},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BisagliaC16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BlasquesJL16,
author = {Francisco Blasques and
Jiangyu Ji and
Andr{\'{e}} Lucas},
title = {Semiparametric score driven volatility models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {58--69},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.04.003},
doi = {10.1016/J.CSDA.2015.04.003},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BlasquesJL16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BoswijkFHT16,
author = {H. Peter Boswijk and
Christian Francq and
Marc Hallin and
Robert Taylor},
title = {Special issue on Time Series Econometrics},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {631--632},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2016.02.006},
doi = {10.1016/J.CSDA.2016.02.006},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/BoswijkFHT16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/CaldeiraMS16,
author = {Jo{\~{a}}o Frois Caldeira and
Guilherme V. Moura and
Andr{\'{e}} Alves Portela Santos},
title = {Predicting the yield curve using forecast combinations},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {79--98},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.05.008},
doi = {10.1016/J.CSDA.2014.05.008},
timestamp = {Thu, 03 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/CaldeiraMS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/ChanG16,
author = {Joshua C. C. Chan and
Angelia L. Grant},
title = {Fast computation of the deviance information criterion for latent
variable models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {847--859},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.07.018},
doi = {10.1016/J.CSDA.2014.07.018},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/ChanG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Clements16,
author = {Michael P. Clements},
title = {Real-time factor model forecasting and the effects of instability},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {661--675},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.01.011},
doi = {10.1016/J.CSDA.2015.01.011},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Clements16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/CreelK16,
author = {Michael Creel and
Dennis Kristensen},
title = {On selection of statistics for approximate Bayesian computing (or
the method of simulated moments)},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {99--114},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.05.005},
doi = {10.1016/J.CSDA.2015.05.005},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/CreelK16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/DissanayakePP16,
author = {G. S. Dissanayake and
M. Shelton Peiris and
Tommaso Proietti},
title = {State space modeling of Gegenbauer processes with long memory},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {115--130},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.09.014},
doi = {10.1016/J.CSDA.2014.09.014},
timestamp = {Wed, 27 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/DissanayakePP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/FenglerO16,
author = {Matthias R. Fengler and
Ostap Okhrin},
title = {Managing risk with a realized copula parameter},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {131--152},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.07.011},
doi = {10.1016/J.CSDA.2014.07.011},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/FenglerO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/FiorentiniPR16,
author = {Gabriele Fiorentini and
Christophe Planas and
Alessandro Rossi},
title = {Skewness and kurtosis of multivariate Markov-switching processes},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {153--159},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.06.009},
doi = {10.1016/J.CSDA.2015.06.009},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/FiorentiniPR16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Franses16,
author = {Philip Hans Franses},
title = {A simple test for a bubble based on growth and acceleration},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {160--169},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.06.006},
doi = {10.1016/J.CSDA.2014.06.006},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Franses16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/FresoliR16,
author = {Diego E. Fresoli and
Esther Ruiz},
title = {The uncertainty of conditional returns, volatilities and correlations
in {DCC} models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {170--185},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.03.017},
doi = {10.1016/J.CSDA.2015.03.017},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/FresoliR16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Giersbergen16,
author = {Noud P. A. van Giersbergen},
title = {The ability to correct the bias in the stable AD(1, 1) model with
a feedback effect},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {186--204},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.04.007},
doi = {10.1016/J.CSDA.2015.04.007},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Giersbergen16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/GiorgiM16,
author = {Emanuele Giorgi and
Alexander J. McNeil},
title = {On the computation of multivariate scenario sets for the skew-t and
generalized hyperbolic families},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {205--220},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.06.024},
doi = {10.1016/J.CSDA.2014.06.024},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/GiorgiM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/GroenK16,
author = {Jan J. J. Groen and
George Kapetanios},
title = {Revisiting useful approaches to data-rich macroeconomic forecasting},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {221--239},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.11.014},
doi = {10.1016/J.CSDA.2015.11.014},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/GroenK16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Hayakawa16,
author = {Kazuhiko Hayakawa},
title = {Improved {GMM} estimation of panel {VAR} models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {240--264},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.05.004},
doi = {10.1016/J.CSDA.2015.05.004},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Hayakawa16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/HayakawaN16,
author = {Kazuhiko Hayakawa and
Shuichi Nagata},
title = {On the behaviour of the {GMM} estimator in persistent dynamic panel
data models with unrestricted initial conditions},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {265--303},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.03.007},
doi = {10.1016/J.CSDA.2015.03.007},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/HayakawaN16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/HendrychC16,
author = {Radek Hendrych and
Tom{\'{a}}s Cipra},
title = {On conditional covariance modelling: An approach using state space
models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {304--317},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.09.019},
doi = {10.1016/J.CSDA.2014.09.019},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/HendrychC16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/HolzmannS16,
author = {Hajo Holzmann and
Florian Schwaiger},
title = {Testing for the number of states in hidden Markov models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {318--330},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.06.012},
doi = {10.1016/J.CSDA.2014.06.012},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/HolzmannS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/HorvathRW16,
author = {Lajos Horv{\'{a}}th and
Gregory Rice and
Stephen Whipple},
title = {Adaptive bandwidth selection in the long run covariance estimator
of functional time series},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {676--693},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.06.008},
doi = {10.1016/J.CSDA.2014.06.008},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/HorvathRW16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/IshiharaOA16,
author = {Tsunehiro Ishihara and
Yasuhiro Omori and
Manabu Asai},
title = {Matrix exponential stochastic volatility with cross leverage},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {331--350},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.10.012},
doi = {10.1016/J.CSDA.2014.10.012},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/IshiharaOA16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Jondeau16,
author = {Eric Jondeau},
title = {Asymmetry in tail dependence in equity portfolios},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {351--368},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.02.014},
doi = {10.1016/J.CSDA.2015.02.014},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Jondeau16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KapetaniosMP16,
author = {George Kapetanios and
Massimiliano Marcellino and
Fotis Papailias},
title = {Forecasting inflation and {GDP} growth using heuristic optimisation
of information criteria and variable reduction methods},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {369--382},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.02.017},
doi = {10.1016/J.CSDA.2015.02.017},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/KapetaniosMP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KontoghiorghesD16,
author = {Erricos John Kontoghiorghes and
Herman K. van Dijk},
title = {CFEnetwork: The annals of computational and financial econometrics,
3rd issue},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {1--3},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2016.02.005},
doi = {10.1016/J.CSDA.2016.02.005},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/KontoghiorghesD16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KuroseO16,
author = {Yuta Kurose and
Yasuhiro Omori},
title = {Dynamic equicorrelation stochastic volatility},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {795--813},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.01.013},
doi = {10.1016/J.CSDA.2015.01.013},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/KuroseO16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/LaurentLP16,
author = {S{\'{e}}bastien Laurent and
Christelle Lecourt and
Franz C. Palm},
title = {Testing for jumps in conditionally Gaussian {ARMA-GARCH} models, a
robust approach},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {383--400},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.05.015},
doi = {10.1016/J.CSDA.2014.05.015},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/LaurentLP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/LiSZ16,
author = {Degui Li and
L{\'{e}}opold Simar and
Valentin Zelenyuk},
title = {Generalized nonparametric smoothing with mixed discrete and continuous
data},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {424--444},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.06.003},
doi = {10.1016/J.CSDA.2014.06.003},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/LiSZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/LiWY16,
author = {Rui Li and
Alan T. K. Wan and
Jinhong You},
title = {Semiparametric {GMM} estimation and variable selection in dynamic
panel data models with fixed effects},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {401--423},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2016.02.001},
doi = {10.1016/J.CSDA.2016.02.001},
timestamp = {Tue, 19 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/LiWY16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/LinG16,
author = {Wei Lin and
Gloria Gonz{\'{a}}lez{-}Rivera},
title = {Interval-valued time series models: Estimation based on order statistics
exploring the Agriculture Marketing Service data},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {694--711},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.07.008},
doi = {10.1016/J.CSDA.2015.07.008},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/LinG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/LubranoN16,
author = {Michel Lubrano and
Abdoul Aziz Junior Ndoye},
title = {Income inequality decomposition using a finite mixture of log-normal
distributions: {A} Bayesian approach},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {830--846},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.10.009},
doi = {10.1016/J.CSDA.2014.10.009},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/LubranoN16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/McCulloch16,
author = {J. Huston McCulloch},
title = {Moment Ratio estimation of autoregressive/unit root parameters and
autocorrelation-consistent standard errors},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {712--733},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.07.003},
doi = {10.1016/J.CSDA.2015.07.003},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/McCulloch16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/OkouJ16,
author = {C{\'{e}}dric Okou and
Eric Jacquier},
title = {Horizon effect in the term structure of long-run risk-return trade-offs},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {445--466},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.07.004},
doi = {10.1016/J.CSDA.2014.07.004},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/OkouJ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/PanP16,
author = {Li Pan and
Dimitris N. Politis},
title = {Bootstrap prediction intervals for Markov processes},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {467--494},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.05.010},
doi = {10.1016/J.CSDA.2015.05.010},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/PanP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/PanopoulouP16,
author = {Ekaterini Panopoulou and
Theologos Pantelidis},
title = {The Fisher effect in the presence of time-varying coefficients},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {495--511},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.08.015},
doi = {10.1016/J.CSDA.2014.08.015},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/PanopoulouP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/PhillipsL16,
author = {Garry D. A. Phillips and
Gareth Liu{-}Evans},
title = {Approximating and reducing bias in 2SLS estimation of dynamic simultaneous
equation models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {734--762},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.11.011},
doi = {10.1016/J.CSDA.2015.11.011},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/PhillipsL16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/PohlmeierSU16,
author = {Winfried Pohlmeier and
Ruben Seiberlich and
Selver Derya Uysal},
title = {A simple and successful shrinkage method for weighting estimators
of treatment effects},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {512--525},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.09.015},
doi = {10.1016/J.CSDA.2014.09.015},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/PohlmeierSU16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Sarafidis16,
author = {Vasilis Sarafidis},
title = {Neighbourhood {GMM} estimation of dynamic panel data models},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {526--544},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.11.015},
doi = {10.1016/J.CSDA.2015.11.015},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Sarafidis16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Shelef16,
author = {Amit Shelef},
title = {A Gini-based unit root test},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {763--772},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.08.012},
doi = {10.1016/J.CSDA.2014.08.012},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Shelef16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Spierdijk16,
author = {Laura Spierdijk},
title = {Confidence intervals for {ARMA-GARCH} Value-at-Risk: The case of heavy
tails and skewness},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {545--559},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.08.011},
doi = {10.1016/J.CSDA.2014.08.011},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/Spierdijk16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/StojanovicPM16,
author = {Vladica S. Stojanovic and
Biljana C. Popovic and
Gradimir V. Milovanovic},
title = {The Split-SV model},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {560--581},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.08.010},
doi = {10.1016/J.CSDA.2014.08.010},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/StojanovicPM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/SucarratGE16,
author = {Genaro Sucarrat and
Steffen Gr{\o}nneberg and
Alvaro Escribano},
title = {Estimation and inference in univariate and multivariate log-GARCH-X
models when the conditional density is unknown},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {582--594},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.12.005},
doi = {10.1016/J.CSDA.2015.12.005},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/SucarratGE16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/VijverbergVT16,
author = {Chu{-}Ping C. Vijverberg and
Wim P. M. Vijverberg and
S{\"{u}}leyman Taspinar},
title = {Linking Tukey's legacy to financial risk measurement},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {595--615},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.08.018},
doi = {10.1016/J.CSDA.2015.08.018},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/VijverbergVT16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/VirbickaiteAG16,
author = {Audrone Virbickaite and
Mar{\'{\i}}a Concepci{\'{o}}n Aus{\'{\i}}n and
Pedro Galeano},
title = {A Bayesian non-parametric approach to asymmetric dynamic conditional
correlation model with application to portfolio selection},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {814--829},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.12.005},
doi = {10.1016/J.CSDA.2014.12.005},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/VirbickaiteAG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Vosseler16,
author = {Alexander Vosseler},
title = {Bayesian model selection for unit root testing with multiple structural
breaks},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {616--630},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2014.08.016},
doi = {10.1016/J.CSDA.2014.08.016},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Vosseler16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Ziel16,
author = {Florian Ziel},
title = {Iteratively reweighted adaptive lasso for conditional heteroscedastic
time series with applications to {AR-ARCH} type processes},
journal = {Comput. Stat. Data Anal.},
volume = {100},
pages = {773--793},
year = {2016},
url = {https://doi.org/10.1016/j.csda.2015.11.016},
doi = {10.1016/J.CSDA.2015.11.016},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/Ziel16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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