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accessRights:"restricted"
~person:"Chen, Cathy W. S."
~person:"Guérin, Pierre"
~subject:"Theorie"
~subject:"VAR-Modell"
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Chen, Cathy W. S.
Guérin, Pierre
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1
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
2
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:
3
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
4
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:
5
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
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6
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
Saved in:
7
Markov-switching mixed-frequency VAR models
Foroni, Claudia
;
Guérin, Pierre
;
Marcellino, Massimiliano
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 692-711
Persistent link: https://www.econbiz.de/10011474529
Saved in:
8
Markov-switching mixed-frequency VAR models
Foroni, Claudia
;
Guérin, Pierre
;
Marcellino, Massimiliano
-
2014
Persistent link: https://www.econbiz.de/10010342583
Saved in:
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