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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

Identification of structural vector autoregressions by stochastic volatility

Bertsche, Dominik; Braun, Robin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 328-341

Persistent link: https://www.econbiz.de/10012804115

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

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

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

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

Mencía, Javier; Sentana, Enrique - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 599-614

Persistent link: https://www.econbiz.de/10012249217

New HEAVY models for fat-tailed realized covariances and returns

Opschoor, Anne; Janus, Paweł; Lucas, André; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 643-657

Persistent link: https://www.econbiz.de/10012249228

Nonlinearity, breaks, and long-range dependence in time-series models

Hillebrand, Eric; Medeiros, Marcelo C. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 23-41

Persistent link: https://www.econbiz.de/10011691143

Forecasting with nonspurious factors in U.S. macroeconomic time series

Yamamoto, Yohei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 81-106

Persistent link: https://www.econbiz.de/10011691219