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1
High dimensional stochastic regression with latent factors,
endogeneity
and nonlinearity
Chang, Jinyuan
;
Guo, Bin
;
Yao, Qiwei
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
Saved in:
2
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei
;
Chan, Kung-sik
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
Saved in:
3
Testing for threshold diffusion
Su, Fei
;
Chan, Kung-sik
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
Saved in:
4
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
5
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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6
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.
;
Pavlidis, Efthymios G.
;
Peel, David
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011966001
Saved in:
7
Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
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8
A new class of change point test statistics of Rényi type
Horváth, Lajos
;
Miller, Curtis
;
Rice, Gregory
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 570-579
Persistent link: https://www.econbiz.de/10012262495
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9
An augmented Lagrangian filter method
Leyffer, Sven
;
Vanaret, Charlie
- In:
Mathematical methods of operations research : ZOR
92
(
2020
)
2
,
pp. 343-376
Persistent link: https://www.econbiz.de/10012395579
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10
Hybrid stochastic local unit roots
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 257-285
Persistent link: https://www.econbiz.de/10012439454
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