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Groups: figshare Restricted Access Tags: 59999 Environmental Sciences not elsewhere classified 69999 Biological Sciences not elsewhere classified keywords.Statistics and Probability

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    Multiple regression model averaging and the focused information criterion wit...

    We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance...
  • publication

    Estimating Jump Activity Using Multipower Variation

    Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and...