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Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo; Di Mari, Roberto - In: Journal of econometrics 221 (2021) 1, pp. 118-137
Persistent link: https://www.econbiz.de/10012618804
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of econometrics 180 (2014) 1, pp. 30-48
Persistent link: https://www.econbiz.de/10010379487
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Does modeling a structural break improve forecast accuracy?
Boot, Tom; Pick, Andreas - In: Journal of econometrics 215 (2020) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10012439152
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Real-time nowcasting of nominal GDP with structural breaks
Barnett, William A.; Chauvet, Marcelle; Leiva-Leon, Danilo - In: Journal of econometrics 191 (2016) 2, pp. 312-324
Persistent link: https://www.econbiz.de/10011610554
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Penetrating sporadic return predictability
Tu, Yundong; Xie, Xinling - In: Journal of econometrics 237 (2023) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Conditional predictive density evaluation in the presence of instabilities
Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 177 (2013) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10010254876