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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - In: Econometric reviews 25 (2006) 2/3, pp. 219-244
Persistent link: https://www.econbiz.de/10003355740
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Misspecification testing for the conditional distribution model in GARCH-type processes
Grigoletto, Matteo; Provasi, Corrado - In: Econometric reviews 28 (2009) 1/3, pp. 209-224
Persistent link: https://www.econbiz.de/10003800726
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Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models
Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360
Persistent link: https://www.econbiz.de/10003355771
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Measuring the volatility in US treasury benchmarks and debt instruments
Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554
Persistent link: https://www.econbiz.de/10003881186
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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo; Kapetanios, George - In: Econometric reviews 28 (2009) 6, pp. 581-611
Persistent link: https://www.econbiz.de/10003881191
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Time series mixtures of generalized t experts : ML estimation and an application to stock return density forecasting
Carvalho, Alexandre Ywata de; Skoulakis, Georgios - In: Econometric reviews 29 (2010) 5/6, pp. 642-687
Persistent link: https://www.econbiz.de/10008668106
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An empirical comparison of machine learning models for time series forecasting
Ahmed, Nesreen K.; Atiya, Amir F.; Gayar, Neamat el; … - In: Econometric reviews 29 (2010) 5/6, pp. 594-621
Persistent link: https://www.econbiz.de/10008668149
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The benefits of bagging for forecast models of realized volatility
Hillebrand, Eric; Medeiros, Marcelo C. - In: Econometric reviews 29 (2010) 5/6, pp. 571-593
Persistent link: https://www.econbiz.de/10008668163
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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
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Panel unit root tests in the presence of cross-sectional dependencies : comparison and implications for modelling
Gengenbach, Christian; Palm, Franz C.; Urbain, Jean-Pierre - In: Econometric reviews 29 (2010) 2, pp. 111-145
Persistent link: https://www.econbiz.de/10003960491