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Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine - In: Journal of econometrics 84 (1998) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - In: Journal of econometrics 201 (2017) 2, pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
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Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - In: Journal of econometrics 185 (2015) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
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Stationary bubble equilibria in rational expectation models
Gouriéroux, Christian; Jasiak, Joann; Monfort, Alain - In: Journal of econometrics 218 (2020) 2, pp. 714-735
Persistent link: https://www.econbiz.de/10012483178
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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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The common and specific components of dynamic volatility
Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581