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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 GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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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
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The finite sample performance of inference methods for propensity score matching and weighting estimators
Bodory, Hugo; Camponovo, Lorenzo; Huber, Martin; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 183-200
Persistent link: https://www.econbiz.de/10012179542
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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Stochastic volatility models based on OU-Gamma time change : theory and estimation
James, Lancelot F.; Müller, Gernot; Zhang, Zhiyuan - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 75-87
Persistent link: https://www.econbiz.de/10011894398
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Minimum contrast empirical likelihood inference of discontinuity in density
Ma, Jun; Jales, Hugo; Yu, Zhengfei - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 934-950
Persistent link: https://www.econbiz.de/10012313380
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Culling the herd of moments with penalized empirical likelihood
Chang, Jinyuan; Shi, Zhentao; Zhang, Jia - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 791-805
Persistent link: https://www.econbiz.de/10014448437
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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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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