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Bayesian estimation of switching ARMA models
Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255
Persistent link: https://www.econbiz.de/10001406655
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The significance of testing empirical non-nested models
McAleer, Michael - In: Journal of econometrics 67 (1995) 1, pp. 149-171
Persistent link: https://www.econbiz.de/10001333013
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Econometric analysis of financial derivatives
Chang, Chia-Lin (ed.); McAleer, Michael (ed.) - 2015
Persistent link: https://www.econbiz.de/10011499675
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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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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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Portfolio optimization based on stochastic dominance and empirical likelihood
Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: Journal of econometrics 206 (2018) 1, pp. 167-186
Persistent link: https://www.econbiz.de/10012110374
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Innovations in multiple time series analysis
Breitung, Jörg (ed.); Herwartz, Helmut (ed.) - 2016
Persistent link: https://www.econbiz.de/10011704621
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Innovations in multiple time series analysis
Breitung, Jörg; Herwartz, Helmut - In: Journal of econometrics 192 (2016) 2, pp. 329-331
Persistent link: https://www.econbiz.de/10011704644
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Large Bayesian VARMAs
Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390
Persistent link: https://www.econbiz.de/10011704723