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A fractionally integrated Wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
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A general quantile function model for economic and financial time series
Cai, Yuzhi - In: Econometric reviews 35 (2016) 5/7, pp. 1173-1193
Persistent link: https://www.econbiz.de/10011591169
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea; Marín, J. Miguel; Veiga, Helena - In: Econometric reviews 39 (2020) 10, pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang; Shaojun, Guo; Long, Yonghong - In: Econometric reviews 41 (2022) 5, pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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Testing for time variation in an unobserved components model for the U.S. economy
Berger, Tino; Everaert, Gerdie; Vierke, Hauke - In: Journal of economic dynamics & control 69 (2016), pp. 179-208
Persistent link: https://www.econbiz.de/10011708530
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A diagnostic test for specification of copulas under censorship
Lin, Juan; Wu, Ximing - In: Econometric reviews 39 (2020) 9, pp. 930-946
Persistent link: https://www.econbiz.de/10012295589