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

401

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
University of Bologna, ECARES, Universite Libre de Bruxelles, Department of Economics, Lancaster University Management School and Catholic University of Louvain - Department of Statistics
Downloads 250 (152,728)
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, University of Geneva GSEM and GFRI and Catholic University of Louvain - Department of Statistics
Downloads 149 (243,363)
Citation 1

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

3.

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 2 (775,309)
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4.

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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5.

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

6.

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 0 (803,862)
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Spectral density estimation, wavelet thresholding, wavelet‐Fisz, periodogram, Besov spaces, smoothing