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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
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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
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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Bayesian nonparametric sparse VAR models
Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115
Persistent link: https://www.econbiz.de/10012303895
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Modelling regional patterns of inefficiency : a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales
Klein, Nadja; Herwartz, Helmut; Kneib, Thomas - In: Journal of econometrics 214 (2020) 2, pp. 513-539
Persistent link: https://www.econbiz.de/10012439076
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Markov switching panel with endogenous synchronization effects
Agudze, Komla M.; Billio, Monica; Casarin, Roberto; … - In: Journal of econometrics 230 (2022) 2, pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - In: Journal of econometrics 227 (2022) 1, pp. 212-227
Persistent link: https://www.econbiz.de/10013441647