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Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data
Tauchen, George Eugene - In: Journal of business & economic statistics : JBES ; a … 4 (1986) 4, pp. 397-425
Persistent link: https://www.econbiz.de/10001012588
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Prior density-ratio class robustness in econometrics
Geweke, John - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 469-478
Persistent link: https://www.econbiz.de/10001251799
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Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
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Forecasting macroeconomic variables under model instability
Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011704162
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A new class of bivariate threshold cointegration models
Cai, Biqing; Gao, Jiti; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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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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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
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Semiparametric conditional quantile estimation through copula-based multivariate models
Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 167-178
Persistent link: https://www.econbiz.de/10011390008
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Density-tempered marginalized sequential Monte Carlo samplers
Duan, Jin-Chuan; Fulop, Andras - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 192-202
Persistent link: https://www.econbiz.de/10011390012
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Bayesian bandwidth estimation in nonparametric time-varying coefficient models
Cheng, Tingting; Gao, Jiti; Zhang, Xibin - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10012175865