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Messy time series : a unified approach
Harvey, Andrew C.; Koopman, Siem Jan; Penzer, Jeremy - 1997
Persistent link: https://www.econbiz.de/10000960677
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Estimating stochastic discount factor models with Hidden regimes : applications to commodity pricing
Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela - 2017 - This version: June, 2017
Persistent link: https://www.econbiz.de/10011803253
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Markov-switching three-pass regression filter
Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2016 - This version: November, 2016
Persistent link: https://www.econbiz.de/10011805831
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Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
Casarin, Roberto; Foroni, Claudia; Marcellino, Massimiliano - 2016 - This version: October 31, 2016
Persistent link: https://www.econbiz.de/10011806012
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - 2018 - This version: February, 2018
Persistent link: https://www.econbiz.de/10011920747
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Forecasting macroeconomic variables using diffusion indexes in short samples with structural change
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2008
Persistent link: https://www.econbiz.de/10003913416