Narrow search
Showing 1 - 10 of 13
Cover Image
Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021
Persistent link: https://www.econbiz.de/10012608826
Cover Image
Regular variation of popular GARCH processes allowing for distributional asymmetry
Prono, Todd - 2017 - First version: August 2017
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...
Persistent link: https://www.econbiz.de/10011803123
Cover Image
Confidence intervals for long-horizon predictive regressions via reverse regressions
Wei, Min; Wright, Jonathan H. - 2009
Persistent link: https://www.econbiz.de/10003867244
Cover Image
Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J. - 2009
Persistent link: https://www.econbiz.de/10003932677
Cover Image
Reconciling micro and macro estimates of the Frisch labor supply elasticity
Peterman, William B. - 2012
Persistent link: https://www.econbiz.de/10009715501
Cover Image
An empirical investigation of consumption-based asset pricing models with stochastic habit formation
Dai, Qiang; Grishchenko, Olesya V. - 2011
Persistent link: https://www.econbiz.de/10009406475
Cover Image
From many series, one cycle : improved estimates of the business cycle from a multivariate unobserved components model
Fleischman, Charles A.; Roberts, John M. - 2011
Persistent link: https://www.econbiz.de/10009406479
Cover Image
Sequential Monte Carlo sampling for DSGE models
Herbst, Edward P.; Schorfheide, Frank - 2013
Persistent link: https://www.econbiz.de/10010431737
Cover Image
Incorporating vintage differences and forecasts into Markov switching models
Nalewaik, Jeremy - 2007
Persistent link: https://www.econbiz.de/10003827127
Cover Image
Estimating the long-run user cost elasticity for a small open economy : evidence using data from South Africa
Coulibaly, Brahima; Millar, Jonathan - 2007
Persistent link: https://www.econbiz.de/10003827135