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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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Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119
Persistent link: https://www.econbiz.de/10011688267
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Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture
Wu, Frank C. Z. - In: Journal of applied econometrics 39 (2024) 4, pp. 697-704
Persistent link: https://www.econbiz.de/10014562850
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Identifying relevant and irrelevant variables in sparse factor models
Kaufmann, Sylvia; Schumacher, Christian - In: Journal of applied econometrics 32 (2017) 6, pp. 1123-1144
Persistent link: https://www.econbiz.de/10011862569
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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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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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Efficient estimation of Bayesian VARMAs with time‐varying coefficients
Chan, Joshua; Eisenstat, Eric - In: Journal of applied econometrics 32 (2017) 7, pp. 1277-1297
Persistent link: https://www.econbiz.de/10011862722
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Modelling inflation volatility
Eisenstat, Eric; Strachan, Rodney W. - In: Journal of applied econometrics 31 (2016) 5, pp. 805-820
Persistent link: https://www.econbiz.de/10011645234
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Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of applied econometrics 38 (2023) 2, pp. 164-185
Persistent link: https://www.econbiz.de/10014287961
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Bayesian graphical models for structural vector autoregressive processes
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - In: Journal of applied econometrics 31 (2016) 2, pp. 357-386
Persistent link: https://www.econbiz.de/10011644349