1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2021
Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
Federico Belotti, Alessandro Casini, Leopoldo Catania +2
We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usu…
stat.CO2015★ 1 cited
Comparison of Value-at-Risk models: the MCS package
Mauro Bernardi, Leopoldo Catania
This paper compares the Value--at--Risk (VaR) forecasts delivered by alternative model specifications using the Model Confidence Set (MCS) procedure recently developed by Hansen et…