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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Estimation theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
Estimation theory
Markov chain
41
Markov-Kette
41
Theorie
21
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21
Estimation
18
Schätzung
18
Bayes-Statistik
16
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16
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Aufsatz in Zeitschrift
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Li, Yong
2
Yu, Jun
2
Ahsan, Nazmul
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bonhomme, Stéphane
1
Borowska, Agnieszka
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Caporin, Massimiliano
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Caraglio, Michele
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Chang, Yoosoon
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1
Gallant, A. Ronald
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Hong, Han
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Hoogerheide, Lennart
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Jasiak, Joann
1
Jin, Xin
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Jochmans, Koen
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Kasahara, Hiroyuki
1
Koopman, Siem Jan
1
Leung, Michael P.
1
Li, Jessie
1
Li, Junye
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Maheu, John M.
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Otranto, Edoardo
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Paolella, Marc S.
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Park, Joon Y.
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Polak, Pawel
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Robin, Jean-Marc
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Shimotsu, Katsumi
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Stella, Attilio L.
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Tong, Howell
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Walker, Patrick S.
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Wang, Nianling
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Zamparo, Marco
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Journal of econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Energy economics
15
Applied economics
9
International journal of forecasting
9
Economics letters
8
Finance research letters
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
The North American journal of economics and finance : a journal of financial economics studies
8
Computational economics
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Journal of forecasting
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Econometric reviews
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Economic modelling
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International review of economics & finance : IREF
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International Journal of Financial Studies : open access journal
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Applied economics letters
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European journal of operational research : EJOR
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Journal of empirical finance
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Research in international business and finance
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
International review of financial analysis
3
Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
3
Journal of time series econometrics
3
The journal of futures markets
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Bulletin of economic research
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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INFORMS journal on computing : JOC
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Insurance / Mathematics & economics
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International Journal of Energy Economics and Policy : IJEEP
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International journal of economics and finance
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International journal of emerging markets
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International journal of finance & economics : IJFE
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International journal of financial engineering
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Journal of banking & finance
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Journal of financial econometrics
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ECONIS (ZBW)
16
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1
Improved marginal likelihood estimation via power posteriors and importance sampling
Li, Yong
;
Wang, Nianling
;
Yu, Jun
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 28-52
Persistent link: https://www.econbiz.de/10014364649
Saved in:
2
Time varying Markov process with partially observed aggregate data : an application to coronavirus
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013472828
Saved in:
3
Constrained estimation using penalization and MCMC
Gallant, A. Ronald
;
Hong, Han
;
Leung, Michael P.
;
Li, Jessie
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10013441728
Saved in:
4
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
7
Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Kasahara, Hiroyuki
;
Shimotsu, Katsumi
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 442-467
Persistent link: https://www.econbiz.de/10012145057
Saved in:
8
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
Saved in:
9
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
10
Exit dynamics of start-up firms : structural estimation using indirect inference
Golombek, Rolf
;
Raknerud, Arvid
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 204-225
Persistent link: https://www.econbiz.de/10012110256
Saved in:
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