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~accessRights:"restricted"
~person:"Hendry, David F."
~person:"McAleer, Michael"
~person:"Sargent, Thomas J."
~subject:"Estimation theory"
~subject:"Stochastic process"
~subject:"harmonic mean"
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Hendry, David F.
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Ranking leading
econometrics
journals using citations data from ISI and RePEc
Chang, Chia-Lin
;
McAleer, Michael
- In:
Econometrics : open access journal
1
(
2013
)
3
,
pp. 217-235
econometrics
journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010236715
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2
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
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3
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
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4
Forecasting from misspecified Models in the Presence of Unanticipated Location Shifts
Clements, Michael P.
;
Hendry, David F.
- In:
The Oxford handbook of economic forecasting
.
2012
Persistent link: https://www.econbiz.de/10012882021
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5
Robustness
Hansen, Lars Peter
-
2011
-
Course Book
modeling
, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self …
Persistent link: https://www.econbiz.de/10014487785
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6
Chapter 20. Wanting Robustness in Macroeconomics
Hansen, Lars Peter
;
Sargent, Thomas J.
- In:
Handbook of monetary economics : volume 3
,
(pp. 1097-1157)
.
2010
Robust control theory is a tool for assessing decision rules when a decision maker distrusts either the specification of transition laws or the distribution of hidden state variables or both. Specification doubts inspire the decision maker to want a decision rule to work well for a ∅ of models...
Persistent link: https://www.econbiz.de/10014025622
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7
Modelling non-stationary "Big Data"
Castle, Jennifer
;
Doornik, Jurgen A.
;
Hendry, David F.
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1556-1575
Persistent link: https://www.econbiz.de/10013274313
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