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Capital income
time-varying parameters
252
Schätzung
243
Estimation
238
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174
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169
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168
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164
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parameters
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number of parameters
40
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Delle Monache, Davide
4
Petrella, Ivan
4
Venditti, Fabrizio
4
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3
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3
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2
Grassi, Stefano
2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
36
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1
Forecasting gold returns volatility over 1258-2023 : the role of moments
Muddana, Thanoj K.
;
Bhimreddy, Komal S. R.
;
Majumdar, …
-
2024
Persistent link: https://www.econbiz.de/10014536233
Saved in:
2
Realized covariance models with time-varying
parameters
and spillover effects
Bauwens, Luc
;
Otranto, Edoardo
-
2023
Persistent link: https://www.econbiz.de/10014322169
Saved in:
3
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Iacopini, …
- In:
Energy economics
132
(
2024
),
pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
Saved in:
4
Oil prices, exchange rates and sectoral stock returns in the BRICS-T countries : a time-varying approach
Caporale, Guglielmo Maria
;
Catik, A. Nazif
;
Kışla, …
-
2021
structural breaks is investigated using the Bai and Perron (2003) tests, and a state-space model with time-varying
parameters
is …
Persistent link: https://www.econbiz.de/10012625861
Saved in:
5
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
6
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
Saved in:
7
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
8
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu
;
Ma, Chaoqun
;
Mi, Xianhua
-
2020
Persistent link: https://www.econbiz.de/10012312856
Saved in:
9
Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
-
2020
Persistent link: https://www.econbiz.de/10012299985
Saved in:
10
Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
-
2020
estimation of the state vector and of the time-varying
parameters
. We use this method to study the timevarying relationship …
Persistent link: https://www.econbiz.de/10012156426
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