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A range-based multivariate stochastic volatility model for exchange rates

Tims, Ben; Mahieu, Ronald J. - In: Econometric reviews 25 (2006) 2/3, pp. 409-424

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Bayesian analysis of stochastic volatility models with flexible tails

Steel, Mark F. J. - In: Econometric reviews 17 (1998) 2, pp. 109-143

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A fractionally integrated Wishart stochastic volatility model

Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59

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Data cloning estimation for asymmetric stochastic volatility models

Bermudez, P. de Zea; Marín, J. Miguel; Veiga, Helena - In: Econometric reviews 39 (2020) 10, pp. 1057-1074

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A Hodrick-Prescott filter with automatically selected jumps

Maranzano, Paolo; Pelagatti, Matteo - 2024

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...

Persistent link: https://www.econbiz.de/10014578421