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Multivariate stochastic volatility models with correlated errors
Chan, David; Kohn, Robert; Kirby, Chris - In: Econometric reviews 25 (2006) 2/3, pp. 245-274
Persistent link: https://www.econbiz.de/10003355764
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Trend-cycle decompositions with correlated components
Proietti, Tommaso - In: Econometric reviews 25 (2006) 1, pp. 61-84
Persistent link: https://www.econbiz.de/10003309356
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A generalized dynamic conditional correlation model : simulation and application to many assets
Hafner, Christian M.; Franses, Philip Hans - In: Econometric reviews 28 (2009) 6, pp. 612-631
Persistent link: https://www.econbiz.de/10003881196
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Testing covariance stationarity
Xiao, Zhijie; Lima, Luiz Renato - In: Econometric reviews 26 (2007) 6, pp. 643-667
Persistent link: https://www.econbiz.de/10003605818
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Testing for state dependence with time-variant transition probabilities
Halliday, Timothy J. - In: Econometric reviews 26 (2007) 6, pp. 685-703
Persistent link: https://www.econbiz.de/10003605821
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Gamma unobserved heterogeneity and duration bias
Børing, Pål - In: Econometric reviews 29 (2010) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003943392
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A multivariate threshold varying conditional correlations model
Kwan, W.; Li, Wai Keung; Ng, K. W. - In: Econometric reviews 29 (2010) 1, pp. 20-38
Persistent link: https://www.econbiz.de/10003943399
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Parsimonious estimation of the covariance matrix in multinomial probit models
Cripps, Edward; Fiebig, Denzil G.; Kohn, Robert - In: Econometric reviews 29 (2010) 2, pp. 146-157
Persistent link: https://www.econbiz.de/10003960494
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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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The effective sample size
Berger, James O.; Bayarri, M. J.; Pericchi, Luis R. - In: Econometric reviews 33 (2014) 1/4, pp. 197-217
Persistent link: https://www.econbiz.de/10010358312