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@article{DBLP:journals/csda/AddoBG14,
author = {Peter Martey Addo and
Monica Billio and
Dominique Gu{\'{e}}gan},
title = {The univariate {MT-STAR} model and a new linearity and unit root test
procedure},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {4--19},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.12.009},
doi = {10.1016/J.CSDA.2013.12.009},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/AddoBG14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/AfonsoGT14,
author = {Ant{\'{o}}nio Afonso and
Pedro Gomes and
Abderrahim Taamouti},
title = {Sovereign credit ratings, market volatility, and financial gains},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {20--33},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.09.028},
doi = {10.1016/J.CSDA.2013.09.028},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/AfonsoGT14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/AielliC14,
author = {Gian Piero Aielli and
Massimiliano Caporin},
title = {Variance clustering improved dynamic conditional correlation {MGARCH}
estimators},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {556--576},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.01.029},
doi = {10.1016/J.CSDA.2013.01.029},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/AielliC14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Andres14,
author = {Philipp Andres},
title = {Maximum likelihood estimates for positive valued dynamic score models;
The DySco package},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {34--42},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.11.004},
doi = {10.1016/J.CSDA.2013.11.004},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Andres14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Audrino14,
author = {Francesco Audrino},
title = {Forecasting correlations during the late-2000s financial crisis: The
short-run component, the long-run component, and structural breaks},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {43--60},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.06.002},
doi = {10.1016/J.CSDA.2013.06.002},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Audrino14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Augustyniak14,
author = {Maciej Augustyniak},
title = {Maximum likelihood estimation of the Markov-switching {GARCH} model},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {61--75},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.01.026},
doi = {10.1016/J.CSDA.2013.01.026},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Augustyniak14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/AurayEJ14,
author = {St{\'{e}}phane Auray and
Aur{\'{e}}lien Eyquem and
Fr{\'{e}}d{\'{e}}ric Jouneau{-}Sion},
title = {Modeling tails of aggregate economic processes in a stochastic growth
model},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {76--94},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2014.02.011},
doi = {10.1016/J.CSDA.2014.02.011},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/AurayEJ14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BadaK14,
author = {Oualid Bada and
Alois Kneip},
title = {Parameter cascading for panel models with unknown number of unobserved
factors: An application to the credit spread puzzle},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {95--115},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.11.007},
doi = {10.1016/J.CSDA.2013.11.007},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BadaK14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BaillieKP14,
author = {Richard T. Baillie and
George Kapetanios and
Fotis Papailias},
title = {Modified information criteria and selection of long memory time series
models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {116--131},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.04.012},
doi = {10.1016/J.CSDA.2013.04.012},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/BaillieKP14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BergmeirCB14,
author = {Christoph Bergmeir and
Mauro Costantini and
Jos{\'{e}} Manuel Ben{\'{\i}}tez},
title = {On the usefulness of cross-validation for directional forecast evaluation},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {132--143},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2014.02.001},
doi = {10.1016/J.CSDA.2014.02.001},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/BergmeirCB14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/BosKO14,
author = {Charles S. Bos and
Siem Jan Koopman and
Marius Ooms},
title = {Long memory with stochastic variance model: {A} recursive analysis
for {US} inflation},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {144--157},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.11.019},
doi = {10.1016/J.CSDA.2012.11.019},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/BosKO14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/CalzolariHP14,
author = {Giorgio Calzolari and
Roxana Halbleib and
Alessandro Parrini},
title = {Estimating GARCH-type models with symmetric stable innovations: Indirect
inference versus maximum likelihood},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {158--171},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.07.028},
doi = {10.1016/J.CSDA.2013.07.028},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/CalzolariHP14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/CaporinM14,
author = {Massimiliano Caporin and
Michael McAleer},
title = {Robust ranking of multivariate {GARCH} models by problem dimension},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {172--185},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.05.012},
doi = {10.1016/J.CSDA.2012.05.012},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/CaporinM14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/ChanK14,
author = {Joshua C. C. Chan and
Gary Koop},
title = {Modelling breaks and clusters in the steady states of macroeconomic
variables},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {186--193},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.05.007},
doi = {10.1016/J.CSDA.2013.05.007},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/ChanK14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/ChenGL14,
author = {Cathy W. S. Chen and
Richard Gerlach and
Edward M. H. Lin},
title = {Bayesian estimation of smoothly mixing time-varying parameter {GARCH}
models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {194--209},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.09.019},
doi = {10.1016/J.CSDA.2013.09.019},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/ChenGL14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/ChretienO14,
author = {St{\'{e}}phane Chr{\'{e}}tien and
Juan{-}Pablo Ortega},
title = {Multivariate {GARCH} estimation via a Bregman-proximal trust-region
method},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {210--236},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.10.020},
doi = {10.1016/J.CSDA.2012.10.020},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/ChretienO14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Diaz-Emparanza14,
author = {Ignacio D{\'{\i}}az{-}Emparanza},
title = {Numerical distribution functions for seasonal unit root tests},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {237--247},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.03.006},
doi = {10.1016/J.CSDA.2013.03.006},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Diaz-Emparanza14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Du14,
author = {Zaichao Du},
title = {Testing for serial independence of panel errors},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {248--261},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.07.031},
doi = {10.1016/J.CSDA.2013.07.031},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Du14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/GaleanoW14,
author = {Pedro Galeano and
Dominik Wied},
title = {Multiple break detection in the correlation structure of random variables},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {262--282},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.02.031},
doi = {10.1016/J.CSDA.2013.02.031},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/GaleanoW14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/GallegatiRS14,
author = {Marco Gallegati and
James B. Ramsey and
Willi Semmler},
title = {Interest rate spreads and output: {A} time scale decomposition analysis
using wavelets},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {283--290},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2014.02.024},
doi = {10.1016/J.CSDA.2014.02.024},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/GallegatiRS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/GhoudiR14,
author = {Kilani Ghoudi and
Bruno N. R{\'{e}}millard},
title = {Comparison of specification tests for {GARCH} models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {291--300},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.03.009},
doi = {10.1016/J.CSDA.2013.03.009},
timestamp = {Thu, 25 Feb 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/GhoudiR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/GrassiM14,
author = {Stefano Grassi and
Paolo Santucci de Magistris},
title = {When long memory meets the Kalman filter: {A} comparative study},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {301--319},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.10.018},
doi = {10.1016/J.CSDA.2012.10.018},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/GrassiM14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/HarveyS14,
author = {Andrew Harvey and
Genaro Sucarrat},
title = {{EGARCH} models with fat tails, skewness and leverage},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {320--338},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.09.022},
doi = {10.1016/J.CSDA.2013.09.022},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/HarveyS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/HwangS14,
author = {Eunju Hwang and
Dong Wan Shin},
title = {Infinite-order, long-memory heterogeneous autoregressive models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {339--358},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.08.009},
doi = {10.1016/J.CSDA.2013.08.009},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/HwangS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Jaschke14,
author = {Stefan J{\"{a}}schke},
title = {Estimation of risk measures in energy portfolios using modern copula
techniques},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {359--376},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2014.01.019},
doi = {10.1016/J.CSDA.2014.01.019},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Jaschke14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KaraviasT14,
author = {Yiannis Karavias and
Elias Tzavalis},
title = {Testing for unit roots in short panels allowing for a structural break},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {391--407},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.10.014},
doi = {10.1016/J.CSDA.2012.10.014},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/KaraviasT14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KastnerF14,
author = {Gregor Kastner and
Sylvia Fr{\"{u}}hwirth{-}Schnatter},
title = {Ancillarity-sufficiency interweaving strategy {(ASIS)} for boosting
{MCMC} estimation of stochastic volatility models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {408--423},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.01.002},
doi = {10.1016/J.CSDA.2013.01.002},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/KastnerF14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KivietP14,
author = {Jan F. Kiviet and
Garry D. A. Phillips},
title = {Improved variance estimation of maximum likelihood estimators in stable
first-order dynamic regression models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {424--448},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.09.021},
doi = {10.1016/J.CSDA.2013.09.021},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/KivietP14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KleppeL14,
author = {Tore Selland Kleppe and
Roman Liesenfeld},
title = {Efficient importance sampling in mixture frameworks},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {449--463},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.01.025},
doi = {10.1016/J.CSDA.2013.01.025},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/KleppeL14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KontoghiorghesDB14,
author = {Erricos John Kontoghiorghes and
Herman K. van Dijk and
David A. Belsley and
Tim Bollerslev and
Francis X. Diebold and
Jean{-}Marie Dufour and
Robert F. Engle and
Andrew Harvey and
Siem Jan Koopman and
Hashem Pesaran and
Peter C. B. Phillips and
Richard J. Smith and
Mike West and
Qiwei Yao and
Alessandra Amendola and
Monica Billio and
Cathy W. S. Chen and
Carl Chiarella and
Ana Colubi and
Manfred Deistler and
Christian Francq and
Marc Hallin and
Eric Jacquier and
Kenneth Judd and
Gary Koop and
Helmut L{\"{u}}tkepohl and
James G. MacKinnon and
Stefan Mittnik and
Yasuhiro Omori and
D. S. G. Pollock and
Tommaso Proietti and
Jeroen V. K. Rombouts and
Olivier Scaillet and
Willi Semmler and
Mike K. P. So and
Mark F. J. Steel and
Robert Taylor and
Elias Tzavalis and
Jean{-}Michel Zakoian and
H. Peter Boswijk and
Alessandra Luati and
John M. Maheu},
title = {CFEnetwork: The Annals of Computational and Financial Econometrics:
2nd Issue},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {1--3},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2014.04.006},
doi = {10.1016/J.CSDA.2014.04.006},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/KontoghiorghesDB14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Kotchoni14,
author = {Rachidi Kotchoni},
title = {The indirect continuous-GMM estimation},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {464--488},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.09.023},
doi = {10.1016/J.CSDA.2013.09.023},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Kotchoni14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Larsson14,
author = {Rolf Larsson},
title = {A likelihood ratio type test for invertibility in moving average processes},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {489--501},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2014.02.025},
doi = {10.1016/J.CSDA.2014.02.025},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Larsson14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/MartinsR14,
author = {Lu{\'{\i}}s F. Martins and
Paulo M. M. Rodrigues},
title = {Testing for persistence change in fractionally integrated models:
An application to world inflation rates},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {502--522},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.07.021},
doi = {10.1016/J.CSDA.2012.07.021},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/MartinsR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/MinC14,
author = {Aleksey Min and
Claudia Czado},
title = {{SCOMDY} models based on pair-copula constructions with application
to exchange rates},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {523--535},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.08.003},
doi = {10.1016/J.CSDA.2012.08.003},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/MinC14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/NybergS14,
author = {Henri Nyberg and
Pentti Saikkonen},
title = {Forecasting with a noncausal {VAR} model},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {536--555},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.10.014},
doi = {10.1016/J.CSDA.2013.10.014},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/NybergS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/OrsalD14,
author = {Deniz Dilan Karaman {\"{O}}rsal and
Bernd Droge},
title = {Panel cointegration testing in the presence of a time trend},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {377--390},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.05.017},
doi = {10.1016/J.CSDA.2012.05.017},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/OrsalD14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Pitarakis14,
author = {Jean{-}Yves Pitarakis},
title = {A joint test for structural stability and a unit root in autoregressions},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {577--587},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.07.027},
doi = {10.1016/J.CSDA.2012.07.027},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/Pitarakis14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/RomboutsS14,
author = {Jeroen V. K. Rombouts and
Lars Stentoft},
title = {Bayesian option pricing using mixed normal heteroskedasticity models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {588--605},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.06.023},
doi = {10.1016/J.CSDA.2013.06.023},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/RomboutsS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/SantosM14,
author = {Andr{\'{e}} Alves Portela Santos and
Guilherme V. Moura},
title = {Dynamic factor multivariate {GARCH} model},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {606--617},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.09.010},
doi = {10.1016/J.CSDA.2012.09.010},
timestamp = {Fri, 04 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/SantosM14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/ShirotaHO14,
author = {Shinichiro Shirota and
Takayuki Hizu and
Yasuhiro Omori},
title = {Realized stochastic volatility with leverage and long memory},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {618--641},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.08.013},
doi = {10.1016/J.CSDA.2013.08.013},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/ShirotaHO14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/SkaugY14,
author = {Hans J. Skaug and
Jun Yu},
title = {A flexible and automated likelihood based framework for inference
in stochastic volatility models},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {642--654},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.10.005},
doi = {10.1016/J.CSDA.2013.10.005},
timestamp = {Tue, 12 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/SkaugY14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/SoY14,
author = {Mike K. P. So and
Cherry Y. T. Yeung},
title = {Vine-copula {GARCH} model with dynamic conditional dependence},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {655--671},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.08.008},
doi = {10.1016/J.CSDA.2013.08.008},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/SoY14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/StoberC14,
author = {Jakob St{\"{o}}ber and
Claudia Czado},
title = {Regime switches in the dependence structure of multidimensional financial
data},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {672--686},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.04.002},
doi = {10.1016/J.CSDA.2013.04.002},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/StoberC14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/VenterJ14,
author = {J. H. Venter and
P. J. de Jongh},
title = {Extended stochastic volatility models incorporating realised measures},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {687--707},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2012.11.005},
doi = {10.1016/J.CSDA.2012.11.005},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/VenterJ14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/Wang14,
author = {Fangfang Wang},
title = {Optimal design of Fourier estimator in the presence of microstructure
noise},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {708--722},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.08.003},
doi = {10.1016/J.CSDA.2013.08.003},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/Wang14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/WiedDKV14,
author = {Dominik Wied and
Herold Dehling and
Maarten van Kampen and
Daniel Vogel},
title = {A fluctuation test for constant Spearman's rho with nuisance-free
limit distribution},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {723--736},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.03.005},
doi = {10.1016/J.CSDA.2013.03.005},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/csda/WiedDKV14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/YenY14,
author = {Yu{-}Min Yen and
Tso{-}Jung Yen},
title = {Solving norm constrained portfolio optimization via coordinate-wise
descent algorithms},
journal = {Comput. Stat. Data Anal.},
volume = {76},
pages = {737--759},
year = {2014},
url = {https://doi.org/10.1016/j.csda.2013.07.010},
doi = {10.1016/J.CSDA.2013.07.010},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/YenY14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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