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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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The econometric analysis of mixed frequency data sampling
Ghysels, Eric; Marcellino, Massimiliano - In: Journal of econometrics 193 (2016) 2, pp. 291-293
Persistent link: https://www.econbiz.de/10011704880
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The econometric analysis of mixed frequency data sampling
Ghylsels, Eric (ed.); Marcellino, Massimiliano (ed.) - 2016
Persistent link: https://www.econbiz.de/10011704980
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A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10011974604