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A new approach to dating the reference cycle

Camacho, Maximo; Gadea, María Dolores; Gómez-Loscos, Ana - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 66-81

Persistent link: https://www.econbiz.de/10012804088

Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Prediction in locally stationary time series

Dette, Holger; Wu, Weichi - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 370-381

Persistent link: https://www.econbiz.de/10012804122

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Dynamic semiparametric factor model with structural breaks

Chen, Likai; Wang, Weining; Wu, Wei Biao - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 757-771

Persistent link: https://www.econbiz.de/10012587979

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10012795900

High-dimensional macroeconomic forecasting using message passing algorithms

Korobilis, Dimitris - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 493-504

Persistent link: https://www.econbiz.de/10012499094

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 285-302

Persistent link: https://www.econbiz.de/10012262467

Change‐point detection in the conditional correlation structure of multivariate volatility models

Barassi, Marco R.; Horváth, Lajos; Zhao, Yuqian - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 340-349

Persistent link: https://www.econbiz.de/10012262479

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392

Persistent link: https://www.econbiz.de/10012262482