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Identification and estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017
Persistent link: https://www.econbiz.de/10011750340
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EGARCH models with fat tails, skewness and leverage
Harvey, Andrew C.; Sucarrat, Genaro - 2012
Persistent link: https://www.econbiz.de/10009579884
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew C. - 2013
Persistent link: https://www.econbiz.de/10009772443
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Filtering with heavy tails
Harvey, Andrew C.; Luati, Alessandra - 2012
Persistent link: https://www.econbiz.de/10009737948
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ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.; Kristensen, Dennis - 2014
Persistent link: https://www.econbiz.de/10010401691
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Dynamic Tobit models
Harvey, Andrew C.; Liao, Yin - 2019
Persistent link: https://www.econbiz.de/10012692647
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
Persistent link: https://www.econbiz.de/10012317765
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Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei; Kruse-Becher, Robinson - 2021
Persistent link: https://www.econbiz.de/10012620758
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Testing and modelling time series with time varying tails
Palumbo, Dario - 2021
Persistent link: https://www.econbiz.de/10013254110