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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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Bayesian exploratory factor analysis
Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10010506092
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing; McAleer, Michael - In: Journal of econometrics 106 (2002) 1, pp. 109-117
Persistent link: https://www.econbiz.de/10001634306
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Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave
Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 193 (2016) 1, pp. 234-250
Persistent link: https://www.econbiz.de/10011704803