3 citations · 10 across the 16 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
econ.EM2021
Adaptive Random Bandwidth for Inference in CAViaR Models
Alain Hecq, Li Sun
This paper investigates the size performance of Wald tests for CAViaR models (Engle and Manganelli, 2004). We find that the usual estimation strategy on test statistics yields inac…
econ.EM2021
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
Alain Hecq, Marie Ternes, Ines Wilms
Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observat…