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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 20 (2005) 2, pp. 311-323
Persistent link: https://www.econbiz.de/10002729166
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Identification and forecasting of bull and bear markets using multivariate returns
Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745
Persistent link: https://www.econbiz.de/10015156772
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Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - In: Journal of applied econometrics 25 (2010) 4, pp. 695-719
Persistent link: https://www.econbiz.de/10008667461
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Modelling and forecasting multivariate realized volatility
Halbleib, Roxana; Voev, Valeri - In: Journal of applied econometrics 26 (2011) 6, pp. 922-947
Persistent link: https://www.econbiz.de/10009408883
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Forecasting large datasets with Bayesian reduced rank multivariate models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of applied econometrics 26 (2011) 5, pp. 735-761
Persistent link: https://www.econbiz.de/10009408921
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An inflated multivariate integer count hurdle model : an application to bid and ask quote dynamics
Korycka-Bień, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - In: Journal of applied econometrics 26 (2011) 4, pp. 669-707
Persistent link: https://www.econbiz.de/10010218082
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Multivariate GARCH models : a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-109
Persistent link: https://www.econbiz.de/10003310013
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The global component of inflation volatility
Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
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Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - In: Journal of applied econometrics 37 (2022) 7, pp. 1356-1378
Persistent link: https://www.econbiz.de/10013473983