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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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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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Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yigit, Taner M. - In: Econometric reviews 41 (2022) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10013167573
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Approximate state space modelling of unobserved fractional components
Hartl, Tobias; Jucknewitz, Roland - In: Econometric reviews 41 (2022) 1, pp. 75-98
Persistent link: https://www.econbiz.de/10013167584
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Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso - In: Econometric reviews 40 (2021) 5, pp. 433-454
Persistent link: https://www.econbiz.de/10012515613
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Wavelet energy ratio unit root tests
Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10012180698
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Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter
Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130
Persistent link: https://www.econbiz.de/10012181397
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70
Persistent link: https://www.econbiz.de/10012181540