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Fat tails and spurious estimation of consumption‐based asset pricing models
Akira Toda, Alexis; Walsh, Kieran - In: Journal of applied econometrics 32 (2017) 6, pp. 1156-1177
Persistent link: https://www.econbiz.de/10011862571
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An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
Guidolin, Massimo; Timmermann, Allan - In: Journal of applied econometrics 21 (2006) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10003309995
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Combining forecast densities from VARs with uncertain instabilities
Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. - In: Journal of applied econometrics 25 (2010) 4, pp. 621-634
Persistent link: https://www.econbiz.de/10008667470
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Asymmetric power distribution : theory and applications to risk measurement
Komunjer, Ivana - In: Journal of applied econometrics 22 (2007) 5, pp. 891-921
Persistent link: https://www.econbiz.de/10003550890
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Relative risk aversion and power-law distribution of macroeconomic disasters
Brzezinski, Michal - In: Journal of applied econometrics 30 (2015) 1, pp. 170-175
Persistent link: https://www.econbiz.de/10011333038
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Evaluating point and density forecasts of DSGE models
Wolters, Maik H. - In: Journal of applied econometrics 30 (2015) 1, pp. 74-96
Persistent link: https://www.econbiz.de/10011327648
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Modelling dependence using skew t copulas : Bayesian inference and applications
Smith, Michael S.; Quan Gan; Kohn, Robert J. - In: Journal of applied econometrics 27 (2012) 3, pp. 500-522
Persistent link: https://www.econbiz.de/10009618600
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Evaluating density forecasts : forecast combinations, model mixtures, calibration and sharpness
Mitchell, James; Wallis, Kenneth Frank - In: Journal of applied econometrics 26 (2011) 6, pp. 1023-1040
Persistent link: https://www.econbiz.de/10009408832
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Applying beta-type size distributions to healthcare cost regressions
Jones, Andrew M.; Lomas, James; Rice, Nigel - In: Journal of applied econometrics 29 (2014) 4, pp. 649-670
Persistent link: https://www.econbiz.de/10010414863
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Are output growth-rate distributions fat-tailed? : some evidence from OECD countries
Fagiolo, Giorgio; Napoletano, Mauro; Roventini, Andrea - In: Journal of applied econometrics 23 (2008) 5, pp. 639-669
Persistent link: https://www.econbiz.de/10003760416