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Post-averaging inference for optimal model averaging estimator in generalized linear models
Yu, Dalei; Lian, Heng; Sun, Yuying; Zhang, Xinyu; Hong, … - In: Econometric reviews 43 (2024) 2/4, pp. 98-122
Persistent link: https://www.econbiz.de/10014551478
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Estimation and properties of a time-varying EGARCH(1,1) in mean model
Anyfantaki, Sofia; Dēmos, Antōnēs A. - In: Econometric reviews 35 (2016) 1/4, pp. 293-310
Persistent link: https://www.econbiz.de/10011549930
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Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970
Persistent link: https://www.econbiz.de/10012295590
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Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto - In: Econometric reviews 38 (2019) 8, pp. 899-920
Persistent link: https://www.econbiz.de/10012181373
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The Gibbs sampler with particle efficient importance sampling for state-space models
Grothe, Oliver; Kleppe, Tore Selland; Liesenfeld, Roman - In: Econometric reviews 38 (2019) 10, pp. 1152-1175
Persistent link: https://www.econbiz.de/10012181399
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Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - In: Econometric reviews 42 (2023) 6, pp. 513-539
Persistent link: https://www.econbiz.de/10014305574