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~isPartOf:"Journal of econometrics"
~subject:"Bayes-Statistik"
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Is the extension of trading hours always beneficial? : an artificial agent-based analysis
Miwa, Kotaro
;
Ueda, Kazuhiro
- In:
Computational economics
50
(
2017
)
4
,
pp. 595-627
Persistent link: https://www.econbiz.de/10011783458
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2
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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3
Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel
;
Gao, Jiti
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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4
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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5
Evolution of forecast disagreement in a Bayesian learning model
Lahiri, Kajal
;
Sheng, Xuguang
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 325-340
Persistent link: https://www.econbiz.de/10003774622
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6
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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7
The common and specific components of dynamic volatility
Connor, Gregory
;
Korajczyk, Robert A.
;
Linton, Oliver
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
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8
A flexible prior distribution for Markov switching autoregressions with student-t errors
Deschamps, Jean-Philippe
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 153-190
Persistent link: https://www.econbiz.de/10003354563
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9
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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10
MCMC maximum likelihood for latent state models
Jacquier, Eric
;
Johannes, Michael
;
Polson, Nicholas G.
- In:
Journal of econometrics
137
(
2007
)
2
,
pp. 615-640
Persistent link: https://www.econbiz.de/10003442024
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