Rainer von Sachs

Catholic University of Louvain - Department of Statistics

Voie du Roman Pay

34 B-1348 Louvain-La-Neuve, 1348

Belgium

SCHOLARLY PAPERS

6

DOWNLOADS

453

SSRN CITATIONS

5

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

Number of pages: 48 Posted: 14 Feb 2019 Last Revised: 24 Apr 2020
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, ECARES, Universite Libre de Bruxelles, Department of Economics, Lancaster University Management School and Catholic University of Louvain - Department of Statistics
Downloads 294 (152,398)
Citation 5

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locally stationary dynamic factor models, volatility, financial connectedness

2.

Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144
Number of pages: 39 Posted: 01 Jun 2005
Antonio Cosma, O. Scaillet and Rainer von Sachs
Université du Luxembourg, Swiss Finance Institute - University of Geneva and Catholic University of Louvain - Department of Statistics
Downloads 152 (279,556)
Citation 1

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Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

3.

Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series

Journal of Time Series Analysis, Vol. 40, Issue 1, pp. 3-22, 2019
Number of pages: 20 Posted: 11 Dec 2018
Cristina Gorrostieta, Hernando Ombao and Rainer von Sachs
University of California, University of Illinois at Urbana-Champaign - Department of Statistics and Catholic University of Louvain - Department of Statistics
Downloads 3 (911,649)

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Multivariate time series, cross‐coherence, dual frequency coherence, Fourier transform, harmonizable processes, evolutionary coherence, Loève spectrum, spectral analysis

4.

A Wavelet-Fisz Approach to Spectrum Estimation

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 868-880, September 2008
Number of pages: 13 Posted: 15 Aug 2008
Piotr Fryzlewicz, Guy P. Nason and Rainer von Sachs
affiliation not provided to SSRN, University of Bristol and Catholic University of Louvain - Department of Statistics
Downloads 3 (911,649)

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5.

A Wavelet‐Fisz Approach to Spectrum Estimation

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 868-880, 2008
Number of pages: 13 Posted: 18 Jan 2014
Piotr Fryzlewicz, Guy P. Nason and Rainer von Sachs
University of Bristol, University of Bristol and Catholic University of Louvain - Department of Statistics
Downloads 1 (938,603)

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Spectral density estimation, wavelet thresholding, wavelet‐Fisz, periodogram, Besov spaces, smoothing

6.

Nonparametric Spectral Analysis of Multivariate Time Series

Annual Review of Statistics and Its Application, Vol. 7, Issue 1, pp. 361-386, 2020
Posted: 12 Mar 2020
Rainer von Sachs
Catholic University of Louvain - Department of Statistics

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