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~isPartOf:"Economic modelling"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~person:"Al-Azzam, Moh’d"
~person:"Chan, Joshua"
~person:"Fernandes, Marcelo"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Gallant, A. Ronald"
~person:"Jensen, Mark J."
~person:"McAleer, Michael"
~subject:"Bayes-Statistik"
~subject:"Börsenkurs"
~subject:"Dynamisches Gleichgewicht"
~subject:"Faktorenanalyse"
~subject:"Volatility"
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Bayes-Statistik
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Al-Azzam, Moh’d
Chan, Joshua
Fernandes, Marcelo
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Jensen, Mark J.
McAleer, Michael
Koop, Gary
9
Schorfheide, Frank
7
Tauchen, George Eugene
7
Todorov, Viktor
7
Yu, Jun
7
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6
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6
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6
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6
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6
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5
Bai, Jushan
5
Dijk, Herman K. van
5
Hallin, Marc
5
Li, Yong
5
Pisani, Massimiliano
5
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4
Bauwens, Luc
4
Gonçalves, Sílvia
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Kalli, Maria
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Maheu, John M.
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4
Yang, Xiye
4
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3
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3
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Economic modelling
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
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10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
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1
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
2
Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
Saved in:
3
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
Saved in:
4
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
5
Bayesian exploratory factor analysis
Conti, Gabriella
;
Frühwirth-Schnatter, Sylvia
; …
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10010506092
Saved in:
6
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
7
A family of autoregressive conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
Saved in:
8
Nonparametric specification tests for conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
127
(
2005
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
Saved in:
9
Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes
Durham, Garland B.
;
Gallant, A. Ronald
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 297-316
Persistent link: https://www.econbiz.de/10001694701
Saved in:
10
Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
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