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Are small scale vars useful for business cycle analysis? : revisiting non-fundamentalness

Canova, Fabio; Sahneh, Mehdi Hamidi - 2016

Persistent link: https://www.econbiz.de/10011437217

A composite likelihood approach for dynamic structural models

Canova, Fabio; Matthes, Christian - 2018

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Dealing with misspecification in structural macroeconometric models

Canova, Fabio; Matthes, Christian - 2019

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Are small-scale SVARs useful for business cycle analysis? : revisiting nonfundamentalness

Canova, Fabio; Sahneh, Mehdi Hamidi - In: Journal of the European Economic Association 16 (2018) 4, pp. 1069-1093

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Approximating time varying structural models with time invariant structures

Canova, Fabio; Ferroni, Filippo; Matthes, Christian - 2015

Persistent link: https://www.econbiz.de/10011391930

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180