| Quantiles via moments |
27 |
| Correlated random effects models with unbalanced panels |
22 |
| Dynamic semiparametric models for expected shortfall (and Value-at-Risk) |
15 |
| Climate risks and market efficiency |
14 |
| Achieving shrinkage in a time-varying parameter model framework |
14 |
| Consistent inference in fixed-effects stochastic frontier models |
11 |
| Simultaneous multiple change-point and factor analysis for high-dimensional time series |
10 |
| Identifying latent grouped patterns in panel data models with interactive fixed effects |
10 |
| Sparse Bayesian time-varying covariance estimation in many dimensions |
9 |
| Resolution of policy uncertainty and sudden declines in volatility |
9 |
| Large-dimensional factor modeling based on high-frequency observations |
9 |
| A quantile correlated random coefficients panel data model |
8 |
| Unified M-estimation of fixed-effects spatial dynamic models with short panels |
8 |
| Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors |
8 |
| Dynamic Bayesian predictive synthesis in time series forecasting |
8 |
| Bayesian compressed vector autoregressions |
7 |
| The ZD-GARCH model: A new way to study heteroscedasticity |
6 |
| Robust covariance estimation for approximate factor models |
6 |
| Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework |
6 |
| Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects |
6 |
| Threshold regression with endogeneity |
6 |
| The numerical delta method |
6 |
| Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models |
6 |
| Stochastic tail index model for high frequency financial data with Bayesian analysis |
6 |
| Nonparametric fixed effects model for panel data with locally stationary regressors |
6 |
| The value of news for economic developments |
6 |
| Alternative tests for correct specification of conditional predictive densities |
6 |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions |
5 |
| Robust inference for threshold regression models |
5 |
| A multiple testing approach to the regularisation of large sample correlation matrices |
5 |
| Testing for randomness in a random coefficient autoregression model |
5 |
| Daily price limits and destructive market behavior |
5 |
| Bayesian nonparametric vector autoregressive models |
5 |
| A time-varying true individual effects model with endogenous regressors |
5 |
| Spatial weights matrix selection and model averaging for spatial autoregressive models |
5 |
| Threshold autoregressive models for interval-valued time series data |
5 |
| Conditional quantile processes based on series or many regressors |
4 |
| The scale of predictability |
4 |
| Modeling maxima with autoregressive conditional Frechet model |
4 |
| Generalized high-dimensional trace regression via nuclear norm regularization |
4 |
| Tail event driven networks of SIFIs |
4 |
| Robust uniform inference for quantile treatment effects in regression discontinuity designs |
4 |
| Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods |
4 |
| Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso |
4 |
| A semiparametric quantile panel data model with an application to estimating the growth effect of FDI |
4 |
| Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates |
4 |
| Bayesian nonparametric sparse VAR models |
4 |
| The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification |
4 |
| A weak law for moments of pairwise stable networks |
4 |
| Rank regularized estimation of approximate factor models |
3 |
