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~person:"Guidolin, Massimo"
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Markov chain
28
Markov-Kette
28
Theorie
17
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Guidolin, Massimo
Koop, Gary
176
Dijk, Herman K. van
155
Ravazzolo, Francesco
137
Casarin, Roberto
123
Schorfheide, Frank
105
Tsionas, Efthymios G.
94
Billio, Monica
90
Marcellino, Massimiliano
81
Bauwens, Luc
79
Kaufmann, Sylvia
74
Gupta, Rangan
73
Strachan, Rodney W.
71
Korobilis, Dimitris
70
Frühwirth-Schnatter, Sylvia
69
Carriero, Andrea
58
Kohn, Robert
58
Hoogerheide, Lennart
57
Huber, Florian
57
Paap, Richard
56
Rady, Sven
55
Chan, Joshua
54
Clark, Todd E.
53
Waggoner, Daniel F.
53
Elliott, Robert J.
52
Lütkepohl, Helmut
52
Chib, Siddhartha
51
Robert, Christian P.
51
Koopman, Siem Jan
50
Canova, Fabio
49
Leon-Gonzalez, Roberto
48
Martin, Gael M.
45
Lang, Stefan
44
Havránek, Tomáš
43
Hoogerheide, Lennart F.
43
Solan, Eilon
43
Villani, Mattias
43
Geweke, John
42
Crespo Cuaresma, Jesús
41
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41
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1
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9
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ECONIS (ZBW)
44
EconStor
4
RePEc
4
USB Cologne (business full texts)
1
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1
Distilling large information sets to forecast commodity returns : automatic variable selection or hidden
Markov
models?
Guidolin, Massimo
;
Pedio, Manuela
-
2020
of forecasting models, i.e., hidden
Markov
chain models in which the coefficients of predictive regressions follow a …
Persistent link: https://www.econbiz.de/10012224322
Saved in:
2
A
Markov
Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle
Guidolin, Massimo
-
2019
efficient market hypothesis. Differently from the previous literature, we estimate a
Markov
switching vector error correction …
Persistent link: https://www.econbiz.de/10012860339
Saved in:
3
Modeling Systemic Risk with
Markov
Switching Graphical SUR Models
Bianchi, Daniele
-
2019
We propose a
Markov
Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time …-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a
Markov
Chain Monte Carlo …
Persistent link: https://www.econbiz.de/10012904580
Saved in:
4
Modeling systemic risk with
Markov
switching graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
-
2018
-
This version: July, 2018
Persistent link: https://www.econbiz.de/10011920738
Saved in:
5
Identifying and measuring the contagion channels at work in the European financial crises
Guidolin, Massimo
;
Pedio, Manuela
-
2016
-
This version: August, 2016
Persistent link: https://www.econbiz.de/10011806010
Saved in:
6
Estimating stochastic discount factor models with Hidden regimes : applications to commodity pricing
Giampietro, Marta
;
Guidolin, Massimo
;
Pedio, Manuela
-
2017
-
This version: June, 2017
Persistent link: https://www.econbiz.de/10011803253
Saved in:
7
The impact of monetary policy on corporate bonds under regime shifts
Guidolin, Massimo
;
Orlov, Alexei G.
;
Pedio, Manuela
-
2015
-
This version: November, 2015
Persistent link: https://www.econbiz.de/10011809312
Saved in:
8
Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times : A
Markov
Switching Model
Guidolin, Massimo
-
2016
-state vector autoregressive (VAR) models and three-state
Markov
switching VAR models. Our results indicate that a standard single …
Persistent link: https://www.econbiz.de/10012988227
Saved in:
9
Modeling systemic risk with
Markov
Switching Graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
Saved in:
10
Do we need non-linear models to predict REIT returns?
Case, Bradford
;
Guidolin, Massimo
;
Yildirim, Yildiray
-
2013
We investigate whether the favorable performance of a fairly simple multistate multivariate
Markov
regime switching …
Persistent link: https://www.econbiz.de/10010206925
Saved in:
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