-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …

indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

-time data flow as well as parameter uncertainty and time-varying volatility. In addition, we develop a fast estimation algorithm …

Geographically weighted small area methods have been studied in literature for small area estimation. Although these … approaches are useful for the estimation of small area means efficiently under strict parametric assumptions, they can be very … spatial non-stationarity. Mean squared error estimation is performed by two different analytic approaches that account for the …

Modern systems of official statistics require the estimation and publication of business statistics for disaggregated … area estimation. Recently proposed outlier robust modelbased small area methods assume, however, uncorrelated random … propose outlier robust small area methodology that allows for the presence of spatial correlation in the data. In particular …

rank estimation method via sequential testing. For a class of stochastic volatility models, we determine data …