This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models …

factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular … focus on the Great Moderation. Models with parsimoniously time-varying parameters are models with an unknown number of break … estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …

regular. We also provide a demonstrative empirical application of additive quantile models to ambulance travel times using …

authors around important theoretical and empirical themes such as forecasting, macro models, marketing models, model …, choice models, IV models, dynamic models and forecasting. Three issues are summarized where Bayesian and frequentist … Bayesian econometrics: Sampling methods which are suitable for parallelization and GPU calculations, complex economic models …

in macro models and finance, choice and and equilibrium in micro models and marketing, and around more methodological … component model structures in macroeconomic and finance; hierarchical structures and choice models in microeconomics and …