Simulation-based density estimation for time series using covariate data

Yin Liao, John Stachurski

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


This article proposes a simulation-based density estimation technique for time series that exploits information found in covariate data. The method can be paired with a large range of parametric models used in time series estimation. We derive asymptotic properties of the estimator and illustrate attractive finite sample properties for a range of well-known econometric and financial applications.
Original languageEnglish
Pages (from-to)595-606
Number of pages12
JournalJournal of Business and Economic Statistics
Issue number4
Publication statusPublished - 2 Oct 2015
Externally publishedYes


  • Density estimation
  • Simulation


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