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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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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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Quantile regression
Chernozhukov, Victor; Galvão Júnior, Antônio Fialho; … - In: Journal of econometrics 213 (2019) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10012304539
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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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GMM quantile regression
Firpo, Sérgio Pinheiro; Galvão Júnior, Antônio Fialho; … - In: Journal of econometrics 230 (2022) 2, pp. 432-452
Persistent link: https://www.econbiz.de/10013464059
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658