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Moment-implied densities : properties and applications
Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
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New HEAVY models for fat-tailed realized covariances and returns
Opschoor, Anne; Janus, Paweł; Lucas, André; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 643-657
Persistent link: https://www.econbiz.de/10012249228
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 68-79
Persistent link: https://www.econbiz.de/10012179513
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Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yamauchi, Yuta; Omori, Yasuhiro - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
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The locally Gaussian partial correlation
Otneim, Håkon; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 924-936
Persistent link: https://www.econbiz.de/10013534580
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Panel stochastic frontier model with endogenous inputs and correlated random components
Hung-pin, Lai; Kumbhakar, Subal - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 80-96
Persistent link: https://www.econbiz.de/10013540641
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Direct semi-parametric estimation of the state price density implied in option prices
Frasso, Gianluca; Eilers, Paul H. C. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1179-1190
Persistent link: https://www.econbiz.de/10013539477