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stat.ME2022
High-dimensional cointegration and Kuramoto systems
Jacob Stærk-Østergaard, Anders Rahbek, Susanne Ditlevsen
This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discus…
econ.EM2022
The Econometrics of Financial Duration Modeling
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the cla…