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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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Bayesian counterfactual analysis of the sources of the great moderation
Kim, Chang-jin; Morley, James C.; Piger, Jeremy Max - In: Journal of applied econometrics 23 (2008) 2, pp. 173-191
Persistent link: https://www.econbiz.de/10003704875
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Rare shocks, great recessions
Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - In: Journal of applied econometrics 29 (2014) 7, pp. 1031-1052
Persistent link: https://www.econbiz.de/10010492715
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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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Dynamic stochastic copula models : estimation, inference and applications
Hafner, Christian M.; Manner, Hans - In: Journal of applied econometrics 27 (2012) 2, pp. 269-295
Persistent link: https://www.econbiz.de/10009618639
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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
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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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Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun; Maheu, John M. - In: Journal of applied econometrics 24 (2009) 5, pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
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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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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