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Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
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Markov-switching mixed-frequency VAR models
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: International journal of forecasting 31 (2015) 3, pp. 692-711
Persistent link: https://www.econbiz.de/10011474529
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico; Santucci de Magistris, Paolo - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 134-146
Persistent link: https://www.econbiz.de/10012176555
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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011691233
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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
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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
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Testing stability in functional event observations with an application to IPO performance
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1262-1273
Persistent link: https://www.econbiz.de/10014448630