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accessRights:"restricted"
~person:"Bauwens, Luc"
~person:"Elliott, Robert J."
~person:"Guérin, Pierre"
~subject:"Business cycle"
~subject:"Portfolio selection"
~subject:"Theory"
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Bauwens, Luc
Elliott, Robert J.
Guérin, Pierre
Tsionas, Efthymios G.
12
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8
Cavicchioli, Maddalena
7
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7
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ECONIS (ZBW)
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1
Heterogeneous switching in FAVAR models
Guérin, Pierre
;
Leiva-León, Danilo
- In:
Essays in honour of Fabio Canova
,
(pp. 65-98)
.
2022
Persistent link: https://www.econbiz.de/10013443910
Saved in:
2
Markov-switching three-pass regression filter
Guérin, Pierre
;
Leiva-Leon, Danilo
;
Marcellino, …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
Saved in:
3
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
4
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
5
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
6
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
Saved in:
7
Model averaging in Markov-switching models : predicting national recessions with regional data
Guérin, Pierre
;
Leiva-Leon, Danilo
- In:
Economics letters
157
(
2017
),
pp. 45-49
Persistent link: https://www.econbiz.de/10011847300
Saved in:
8
A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei
;
Ching, Wai Ki
;
Elliott, Robert J.
;
Siu, …
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
4
,
pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
Saved in:
9
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
10
Credit risk and contagion via self-exciting default intensity
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 319-344
Persistent link: https://www.econbiz.de/10011459064
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