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A copula nonlinear Granger causality
Kim, Jong-Min; Lee, Namgil; Hwang, Sun Young - In: Economic modelling 88 (2020), pp. 420-430
Persistent link: https://www.econbiz.de/10012417258
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Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
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Vine copula Granger causality in mean
Jang, Hyuna; Kim, Jong-Min; Noh, Hohsuk - In: Economic modelling 109 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013348254
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Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
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Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend
McKnight, Stephen; Mihailov, Alexander; Rumler, Fabio - In: Economic modelling 87 (2020), pp. 383-393
Persistent link: https://www.econbiz.de/10012416768
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Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP
Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466
Persistent link: https://www.econbiz.de/10009730816
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On business cycle fluctuations in USA macroeconomic time series
Kiani, Khurshid M. - In: Economic modelling 53 (2016), pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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The new MIBA model : real-time nowcasting of French GDP using the Banque de France's monthly business survey
Mogliani, Matteo; Darné, Olivier; Pluyaud, Bertrand - In: Economic modelling 64 (2017), pp. 26-39
Persistent link: https://www.econbiz.de/10011756427
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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470