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Frequentist inference in weakly identified DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2009

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Nonlinearities in the oil price-output relationship

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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...

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Forecasting cryptocurrencies under model and parameter instability

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501

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Forecasting value-at-risk using block structure multivariate stochastic volatility models

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Interconnections between Eurozone and us booms and us busts using a Bayesian panel Markov-switching VAR model

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Optimal portfolio choice under decision-based model combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - In: Journal of applied econometrics 31 (2016) 7, pp. 1312-1332

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Using entropic tilting to combine BVAR forecasts with external nowcasts

Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 470-485

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The econometrics of oil market VAR models

Kilian, Lutz; Zhou, Xiaoqing - In: Essays in honor of Joon Y. Park : econometric …, (pp. 65-95). 2023

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The econometrics of oil market VAR models

Kilian, Lutz; Zhou, Xiaoqing - 2020

Persistent link: https://www.econbiz.de/10012213247