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A statistical inquiry into the plausibility of recursive utility

Gallant, A. Ronald; Hong, Han - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 523-559

Persistent link: https://www.econbiz.de/10003570720

Bayesian estimation of a dynamic game with endogenous, partially observed, serially correlated state

Gallant, A. Ronald; Hong, Han; Khwaja, Ahmed - 2011

Persistent link: https://www.econbiz.de/10009561727

Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020 - Current version: April 6, 2020

We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle ﬁlter (COPF) for the evaluation of...

Persistent link: https://www.econbiz.de/10012372759

Forecasting covariance matrices : a mixed approach

Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417

Persistent link: https://www.econbiz.de/10011589016

Comments on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Amengual, Dante; Sentana, Enrique - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 248-252

Persistent link: https://www.econbiz.de/10011591026

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Geweke, John - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 253-257

Persistent link: https://www.econbiz.de/10011591027

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Kim, Chae-yŏng - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 258-260

Persistent link: https://www.econbiz.de/10011591028

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Linton, Oliver; Wu, Ruochen - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 261-264

Persistent link: https://www.econbiz.de/10011591029

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Robert, Christian P. - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 265-271

Persistent link: https://www.econbiz.de/10011591030

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Sims, Christopher A. - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 272-277

Persistent link: https://www.econbiz.de/10011591031