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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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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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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
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Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430
Persistent link: https://www.econbiz.de/10012482780