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Bayesian dynamic factor models and portfolio allocation
Aguilar, Omar; West, Mike - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 338-357
Persistent link: https://www.econbiz.de/10001493865
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Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10001214326
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On the econometrics of the bass diffusion model
Boswijk, Herman Peter; Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 255-268
Persistent link: https://www.econbiz.de/10003012845
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Convergence rates to purchasing power parity for traded and nontraded goods : a structural error-correction model approach
Kim, Jaebeom - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10002583982
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Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship
Bec, Frédérique; BenSalem, Mélika; Carrasco, Marine - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 382-395
Persistent link: https://www.econbiz.de/10002372870
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Martingale property of exchange rates and central bank interventions
Yılmaz, Kamil - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 383-395
Persistent link: https://www.econbiz.de/10001785814
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Derivative pricing with wishart multivariate stochastic volatility
Gouriéroux, Christian; Sufana, Razvan - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 438-451
Persistent link: https://www.econbiz.de/10008736163
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Testing the continuous semimartingale hypothesis for the S&P 500
Peters, Remco T.; Vilder, Robin G. de - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 444-454
Persistent link: https://www.econbiz.de/10003385164
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183
Persistent link: https://www.econbiz.de/10009754008