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A new approach to risk-return trade-off dynamics via decomposition
Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55
Persistent link: https://www.econbiz.de/10011708149
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Markov-switching quantile autoregression : a Gibbs sampling approach
Liu, Xiaochun; Luger, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10011897360
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Sequential Bayesian inference for vector autoregressions with stochastic volatility
Bognanni, Mark; Zito, John - In: Journal of economic dynamics & control 113 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012502544
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Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark - In: Journal of econometrics 227 (2022) 2, pp. 498-505
Persistent link: https://www.econbiz.de/10013442175