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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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What are the differences in trend cycle decompositions by Beveridge and Nelson and by unobserved component models?
Iwata, Shigeru; Li, Han - In: Econometric reviews 34 (2015) 1/5, pp. 146-173
Persistent link: https://www.econbiz.de/10011373299
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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter
Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130
Persistent link: https://www.econbiz.de/10012181397
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A state-space approach to time-varying reduced-rank regression
Brune, Barbara; Scherrer, Wolfgang; Bura, Efstathia - In: Econometric reviews 41 (2022) 8, pp. 895-917
Persistent link: https://www.econbiz.de/10013364916
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso - In: Econometric reviews 40 (2021) 5, pp. 433-454
Persistent link: https://www.econbiz.de/10012515613
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
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Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Armah, Nii Ayi; Swanson, Norman R. - In: Econometric reviews 29 (2010) 5/6, pp. 476-510
Persistent link: https://www.econbiz.de/10008668183