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isPartOf:"Journal of econometrics"
~person:"Marcellino, Massimiliano"
~person:"Martin, Gael M."
~source:"econis"
~subject:"Bayesian inference"
~subject:"Stochastischer Prozess"
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Bayesian inference
Stochastischer Prozess
Volatility
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Volatilität
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4
VAR model
3
VAR-Modell
3
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Marcellino, Massimiliano
Martin, Gael M.
Todorov, Viktor
11
Tauchen, George Eugene
8
McAleer, Michael
5
Asai, Manabu
4
Bollerslev, Tim
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Andersen, Torben
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Aït-Sahalia, Yacine
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Carriero, Andrea
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Gallant, A. Ronald
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Grynkiv, Iaryna
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Jensen, Mark J.
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Kim, Donggyu
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Journal of econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Discussion papers / CEPR
5
Federal Reserve Bank of Cleveland working paper series
5
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
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2
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
3
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
4
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
Saved in:
5
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
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