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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121
Persistent link: https://www.econbiz.de/10001387229
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Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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Sequential Monte Carlo methods for estimating dynamic microeconomic models
Blevins, Jason R. - In: Journal of applied econometrics 31 (2016) 5, pp. 773-804
Persistent link: https://www.econbiz.de/10011645233
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Bayesian fuzzy regression discontinuity analysis and returns to compulsory schooling
Chib, Siddhartha; Jacobi, Liana - In: Journal of applied econometrics 31 (2016) 6, pp. 1026-1047
Persistent link: https://www.econbiz.de/10011686235
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Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - In: Journal of applied econometrics 32 (2017) 5, pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
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Stochastic trends, deterministic trends, and business cycle turning points
Gordon, Stephen F. - In: Journal of applied econometrics 12 (1997) 4, pp. 411-434
Persistent link: https://www.econbiz.de/10001223745
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Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
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A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj; Lkhagvasuren, Damba - In: Journal of applied econometrics 29 (2014) 5, pp. 843-859
Persistent link: https://www.econbiz.de/10010414842
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Descriptive econometrics for non-stationary time series with empirical illustrations
Phillips, Peter C. B. - In: Journal of applied econometrics 16 (2001) 3, pp. 389-413
Persistent link: https://www.econbiz.de/10001592353
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Stochastic volatility models : conditional normality versus heavy-tailed distributions
Liesenfeld, Roman; Jung, Robert - In: Journal of applied econometrics 15 (2000) 2, pp. 137-160
Persistent link: https://www.econbiz.de/10001474643