Wang, Hao Sparse seemingly unrelated regression modelling: applications in finance and econometrics. (English) Zbl 1284.91461 Comput. Stat. Data Anal. 54, No. 11, 2866-2877 (2010). MSC: 91B82 62J12 PDF BibTeX XML Cite \textit{H. Wang}, Comput. Stat. Data Anal. 54, No. 11, 2866--2877 (2010; Zbl 1284.91461) Full Text: DOI OpenURL
Vilar, J. A.; Alonso, A. M.; Vilar, J. M. Non-linear time series clustering based on non-parametric forecast densities. (English) Zbl 1284.62575 Comput. Stat. Data Anal. 54, No. 11, 2850-2865 (2010). MSC: 62M10 91B84 PDF BibTeX XML Cite \textit{J. A. Vilar} et al., Comput. Stat. Data Anal. 54, No. 11, 2850--2865 (2010; Zbl 1284.62575) Full Text: DOI OpenURL
Vassiliou, E. E.; Demetriou, I. C. A linearly distributed lag estimator with \(r\)-convex coefficients. (English) Zbl 1284.62438 Comput. Stat. Data Anal. 54, No. 11, 2836-2849 (2010). MSC: 62J05 62M10 PDF BibTeX XML Cite \textit{E. E. Vassiliou} and \textit{I. C. Demetriou}, Comput. Stat. Data Anal. 54, No. 11, 2836--2849 (2010; Zbl 1284.62438) Full Text: DOI OpenURL
Strid, Ingvar Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach. (English) Zbl 1284.62036 Comput. Stat. Data Anal. 54, No. 11, 2814-2835 (2010). MSC: 62-04 62F15 PDF BibTeX XML Cite \textit{I. Strid}, Comput. Stat. Data Anal. 54, No. 11, 2814--2835 (2010; Zbl 1284.62036) Full Text: DOI OpenURL
Shin, Dong Wan; Park, Sangun Robust panel unit root tests for cross-sectionally dependent multiple time series. (English) Zbl 1284.62571 Comput. Stat. Data Anal. 54, No. 11, 2801-2813 (2010). MSC: 62M10 PDF BibTeX XML Cite \textit{D. W. Shin} and \textit{S. Park}, Comput. Stat. Data Anal. 54, No. 11, 2801--2813 (2010; Zbl 1284.62571) Full Text: DOI OpenURL
Rossi, Eduardo; Spazzini, F. Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis. (English) Zbl 1284.91477 Comput. Stat. Data Anal. 54, No. 11, 2786-2800 (2010). MSC: 91B84 91B82 62P20 PDF BibTeX XML Cite \textit{E. Rossi} and \textit{F. Spazzini}, Comput. Stat. Data Anal. 54, No. 11, 2786--2800 (2010; Zbl 1284.91477) Full Text: DOI Link OpenURL
Postiglione, Paolo; Benedetti, Roberto; Lafratta, Giovanni A regression tree algorithm for the identification of convergence clubs. (English) Zbl 1284.91455 Comput. Stat. Data Anal. 54, No. 11, 2776-2785 (2010). MSC: 91B82 62P20 62J05 PDF BibTeX XML Cite \textit{P. Postiglione} et al., Comput. Stat. Data Anal. 54, No. 11, 2776--2785 (2010; Zbl 1284.91455) Full Text: DOI OpenURL
Pendakur, Krishna; Scholz, Michael; Sperlich, Stefan Semiparametric indirect utility and consumer demand. (English) Zbl 1284.91454 Comput. Stat. Data Anal. 54, No. 11, 2763-2775 (2010). MSC: 91B82 91B42 62P20 62-07 PDF BibTeX XML Cite \textit{K. Pendakur} et al., Comput. Stat. Data Anal. 54, No. 11, 2763--2775 (2010; Zbl 1284.91454) Full Text: DOI Link OpenURL
Pastorello, Sergio; Rossi, Eduardo Efficient importance sampling maximum likelihood estimation of stochastic differential equations. (English) Zbl 1284.60119 Comput. Stat. Data Anal. 54, No. 11, 2753-2762 (2010). MSC: 60H10 62D05 62M99 PDF BibTeX XML Cite \textit{S. Pastorello} and \textit{E. Rossi}, Comput. Stat. Data Anal. 54, No. 11, 2753--2762 (2010; Zbl 1284.60119) Full Text: DOI Link OpenURL
Omori, Yasuhiro; Miyawaki, Koji Tobit model with covariate dependent thresholds. (English) Zbl 1284.91427 Comput. Stat. Data Anal. 54, No. 11, 2736-2752 (2010). MSC: 91B70 62-07 PDF BibTeX XML Cite \textit{Y. Omori} and \textit{K. Miyawaki}, Comput. Stat. Data Anal. 54, No. 11, 2736--2752 (2010; Zbl 1284.91427) Full Text: DOI OpenURL
Ohtsuka, Yoshihiro; Oga, Takashi; Kakamu, Kazuhiko Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach. (English) Zbl 1284.91475 Comput. Stat. Data Anal. 54, No. 11, 2721-2735 (2010). MSC: 91B84 62M10 62P20 PDF BibTeX XML Cite \textit{Y. Ohtsuka} et al., Comput. Stat. Data Anal. 54, No. 11, 2721--2735 (2010; Zbl 1284.91475) Full Text: DOI OpenURL
Naylor, J. C.; Tremayne, A. R.; Marriott, J. M. Exploratory data analysis and model criticism with posterior plots. (English) Zbl 1284.91452 Comput. Stat. Data Anal. 54, No. 11, 2707-2720 (2010). MSC: 91B82 62P20 62A09 62-07 PDF BibTeX XML Cite \textit{J. C. Naylor} et al., Comput. Stat. Data Anal. 54, No. 11, 2707--2720 (2010; Zbl 1284.91452) Full Text: DOI OpenURL
Lyra, M.; Paha, J.; Paterlini, S.; Winker, P. Optimization heuristics for determining internal rating grading scales. (English) Zbl 1284.90102 Comput. Stat. Data Anal. 54, No. 11, 2693-2706 (2010). MSC: 90C59 90C90 PDF BibTeX XML Cite \textit{M. Lyra} et al., Comput. Stat. Data Anal. 54, No. 11, 2693--2706 (2010; Zbl 1284.90102) Full Text: DOI OpenURL
Lux, Thomas; Morales-Arias, Leonardo Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations. (English) Zbl 1284.91590 Comput. Stat. Data Anal. 54, No. 11, 2676-2692 (2010). MSC: 91G70 91B84 62M10 62P05 91B70 PDF BibTeX XML Cite \textit{T. Lux} and \textit{L. Morales-Arias}, Comput. Stat. Data Anal. 54, No. 11, 2676--2692 (2010; Zbl 1284.91590) Full Text: DOI OpenURL
Kapetanios, George; Marcellino, Massimiliano Factor-GMM estimation with large sets of possibly weak instruments. (English) Zbl 1284.91447 Comput. Stat. Data Anal. 54, No. 11, 2655-2675 (2010). MSC: 91B82 62H25 91B51 PDF BibTeX XML Cite \textit{G. Kapetanios} and \textit{M. Marcellino}, Comput. Stat. Data Anal. 54, No. 11, 2655--2675 (2010; Zbl 1284.91447) Full Text: DOI Link OpenURL
Hindrayanto, Irma; Koopman, Siem Jan; Ooms, Marius Exact maximum likelihood estimation for non-stationary periodic time series models. (English) Zbl 1284.91588 Comput. Stat. Data Anal. 54, No. 11, 2641-2654 (2010). MSC: 91G70 91B84 62M10 PDF BibTeX XML Cite \textit{I. Hindrayanto} et al., Comput. Stat. Data Anal. 54, No. 11, 2641--2654 (2010; Zbl 1284.91588) Full Text: DOI OpenURL
He, Zhongfang; Maheu, John M. Real time detection of structural breaks in GARCH models. (English) Zbl 1284.91587 Comput. Stat. Data Anal. 54, No. 11, 2628-2640 (2010). MSC: 91G70 62P05 62M10 91B84 PDF BibTeX XML Cite \textit{Z. He} and \textit{J. M. Maheu}, Comput. Stat. Data Anal. 54, No. 11, 2628--2640 (2010; Zbl 1284.91587) Full Text: DOI Link OpenURL
Hafner, Christian M.; Reznikova, Olga Efficient estimation of a semiparametric dynamic copula model. (English) Zbl 1284.91472 Comput. Stat. Data Anal. 54, No. 11, 2609-2627 (2010). MSC: 91B84 62H05 62G05 PDF BibTeX XML Cite \textit{C. M. Hafner} and \textit{O. Reznikova}, Comput. Stat. Data Anal. 54, No. 11, 2609--2627 (2010; Zbl 1284.91472) Full Text: DOI OpenURL
Griffin, J. E.; Steel, M. F. J. Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes. (English) Zbl 1284.91586 Comput. Stat. Data Anal. 54, No. 11, 2594-2608 (2010). MSC: 91G70 91B84 62P05 62F15 91B70 PDF BibTeX XML Cite \textit{J. E. Griffin} and \textit{M. F. J. Steel}, Comput. Stat. Data Anal. 54, No. 11, 2594--2608 (2010; Zbl 1284.91586) Full Text: DOI OpenURL
Grané, Aurea; Veiga, Helena Wavelet-based detection of outliers in financial time series. (English) Zbl 1284.91585 Comput. Stat. Data Anal. 54, No. 11, 2580-2593 (2010). MSC: 91G70 91B84 62P05 62-07 PDF BibTeX XML Cite \textit{A. Grané} and \textit{H. Veiga}, Comput. Stat. Data Anal. 54, No. 11, 2580--2593 (2010; Zbl 1284.91585) Full Text: DOI OpenURL
Fantazzini, Dean Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects. (English) Zbl 1284.62138 Comput. Stat. Data Anal. 54, No. 11, 2562-2579 (2010). MSC: 62F05 62G05 62-07 PDF BibTeX XML Cite \textit{D. Fantazzini}, Comput. Stat. Data Anal. 54, No. 11, 2562--2579 (2010; Zbl 1284.62138) Full Text: DOI OpenURL
Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral Estimation uncertainty in structural inflation models with real wage rigidities. (English) Zbl 1284.91445 Comput. Stat. Data Anal. 54, No. 11, 2554-2561 (2010). MSC: 91B82 62P20 62-07 PDF BibTeX XML Cite \textit{J.-M. Dufour} et al., Comput. Stat. Data Anal. 54, No. 11, 2554--2561 (2010; Zbl 1284.91445) Full Text: DOI OpenURL
Dufour, Jean-Marie; Taamouti, Abderrahim Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form. (English) Zbl 1284.62128 Comput. Stat. Data Anal. 54, No. 11, 2532-2553 (2010). MSC: 62F03 62-07 PDF BibTeX XML Cite \textit{J.-M. Dufour} and \textit{A. Taamouti}, Comput. Stat. Data Anal. 54, No. 11, 2532--2553 (2010; Zbl 1284.62128) Full Text: DOI Link OpenURL
Duchesne, Pierre; Li, Linyuan; Vandermeerschen, Jill On testing for serial correlation of unknown form using wavelet thresholding. (English) Zbl 1284.62513 Comput. Stat. Data Anal. 54, No. 11, 2512-2531 (2010). MSC: 62M02 62-07 PDF BibTeX XML Cite \textit{P. Duchesne} et al., Comput. Stat. Data Anal. 54, No. 11, 2512--2531 (2010; Zbl 1284.62513) Full Text: DOI OpenURL
Davidson, James; Monticini, Andrea Tests for cointegration with structural breaks based on subsamples. (English) Zbl 1284.91583 Comput. Stat. Data Anal. 54, No. 11, 2498-2511 (2010). MSC: 91G70 62P05 62-07 PDF BibTeX XML Cite \textit{J. Davidson} and \textit{A. Monticini}, Comput. Stat. Data Anal. 54, No. 11, 2498--2511 (2010; Zbl 1284.91583) Full Text: DOI Link OpenURL
Dai, Jing; Sperlich, S. Simple and effective boundary correction for kernel densities and regression with an application to the world income and Engel curve estimation. (English) Zbl 1284.91444 Comput. Stat. Data Anal. 54, No. 11, 2487-2497 (2010). MSC: 91B82 62P20 62G07 PDF BibTeX XML Cite \textit{J. Dai} and \textit{S. Sperlich}, Comput. Stat. Data Anal. 54, No. 11, 2487--2497 (2010; Zbl 1284.91444) Full Text: DOI Link OpenURL
Cipollini, Fabrizio; Gallo, Giampiero M. Automated variable selection in vector multiplicative error models. (English) Zbl 1284.91582 Comput. Stat. Data Anal. 54, No. 11, 2470-2486 (2010). MSC: 91G70 62P05 62-07 PDF BibTeX XML Cite \textit{F. Cipollini} and \textit{G. M. Gallo}, Comput. Stat. Data Anal. 54, No. 11, 2470--2486 (2010; Zbl 1284.91582) Full Text: DOI Link OpenURL
Boudt, Kris; Croux, Christophe Robust M-estimation of multivariate GARCH models. (English) Zbl 1284.91469 Comput. Stat. Data Anal. 54, No. 11, 2459-2469 (2010). MSC: 91B84 62P20 PDF BibTeX XML Cite \textit{K. Boudt} and \textit{C. Croux}, Comput. Stat. Data Anal. 54, No. 11, 2459--2469 (2010; Zbl 1284.91469) Full Text: DOI OpenURL
Billio, Monica; Caporin, Massimiliano Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion. (English) Zbl 1284.91468 Comput. Stat. Data Anal. 54, No. 11, 2443-2458 (2010). MSC: 91B84 62P05 PDF BibTeX XML Cite \textit{M. Billio} and \textit{M. Caporin}, Comput. Stat. Data Anal. 54, No. 11, 2443--2458 (2010; Zbl 1284.91468) Full Text: DOI OpenURL
Beran, Jan; Schützner, Martin; Ghosh, Sucharita From short to long memory: aggregation and estimation. (English) Zbl 1284.62544 Comput. Stat. Data Anal. 54, No. 11, 2432-2442 (2010). MSC: 62M10 62-07 PDF BibTeX XML Cite \textit{J. Beran} et al., Comput. Stat. Data Anal. 54, No. 11, 2432--2442 (2010; Zbl 1284.62544) Full Text: DOI OpenURL
Ben Omrane, Walid; Heinen, Andréas Public news announcements and quoting activity in the Euro/Dollar foreign exchange market. (English) Zbl 1284.91467 Comput. Stat. Data Anal. 54, No. 11, 2419-2431 (2010). MSC: 91B84 62P05 91B74 62-07 PDF BibTeX XML Cite \textit{W. Ben Omrane} and \textit{A. Heinen}, Comput. Stat. Data Anal. 54, No. 11, 2419--2431 (2010; Zbl 1284.91467) Full Text: DOI OpenURL
Bauwens, Luc; Ben Omrane, Walid; Rengifo, Erick Intradaily dynamic portfolio selection. (English) Zbl 1284.91511 Comput. Stat. Data Anal. 54, No. 11, 2400-2418 (2010). MSC: 91G10 91G70 91B84 62P05 PDF BibTeX XML Cite \textit{L. Bauwens} et al., Comput. Stat. Data Anal. 54, No. 11, 2400--2418 (2010; Zbl 1284.91511) Full Text: DOI OpenURL
Ausin, M. Concepcion; Lopes, Hedibert F. Time-varying joint distribution through copulas. (English) Zbl 1284.91466 Comput. Stat. Data Anal. 54, No. 11, 2383-2399 (2010). MSC: 91B84 62M10 91G70 PDF BibTeX XML Cite \textit{M. C. Ausin} and \textit{H. F. Lopes}, Comput. Stat. Data Anal. 54, No. 11, 2383--2399 (2010; Zbl 1284.91466) Full Text: DOI Link OpenURL
Audrino, Francesco; Corsi, Fulvio Modeling tick-by-tick realized correlations. (English) Zbl 1284.91465 Comput. Stat. Data Anal. 54, No. 11, 2372-2382 (2010). MSC: 91B84 PDF BibTeX XML Cite \textit{F. Audrino} and \textit{F. Corsi}, Comput. Stat. Data Anal. 54, No. 11, 2372--2382 (2010; Zbl 1284.91465) Full Text: DOI Link OpenURL
Alp, Tansel; Demetrescu, Matei Joint forecasts of Dow Jones stocks under general multivariate loss function. (English) Zbl 1284.91464 Comput. Stat. Data Anal. 54, No. 11, 2360-2371 (2010). MSC: 91B84 62P20 91G70 PDF BibTeX XML Cite \textit{T. Alp} and \textit{M. Demetrescu}, Comput. Stat. Data Anal. 54, No. 11, 2360--2371 (2010; Zbl 1284.91464) Full Text: DOI Link OpenURL
Belsley, David A. (ed.); Duchesne, Pierre (ed.); Kapetanios, George (ed.); Kontoghiorghes, Erricos John (ed.); Paolella, Marc (ed.); Van Dijk, Herman K. (ed.) The fifth special issue on computational econometrics. (English) Zbl 1284.00065 Comput. Stat. Data Anal. 54, No. 11, 2359 (2010). MSC: 00B25 62-06 62P20 62-08 PDF BibTeX XML Cite \textit{D. A. Belsley} (ed.) et al., Comput. Stat. Data Anal. 54, No. 11, 2359 (2010; Zbl 1284.00065) Full Text: DOI OpenURL