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Inference in Bayesian Proxy-SVARs
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - In: Journal of econometrics 225 (2021) 1, pp. 88-106
Persistent link: https://www.econbiz.de/10013279023
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Robust score and portmanteau tests of volatility spillover
Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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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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Evolution of forecast disagreement in a Bayesian learning model
Lahiri, Kajal; Sheng, Xuguang - In: Journal of econometrics 144 (2008) 2, pp. 325-340
Persistent link: https://www.econbiz.de/10003774622
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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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A flexible prior distribution for Markov switching autoregressions with student-t errors
Deschamps, Jean-Philippe - In: Journal of econometrics 133 (2006) 1, pp. 153-190
Persistent link: https://www.econbiz.de/10003354563