Narrow search
Showing 11 - 20 of 2,408
Cover Image
High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
Cover Image
Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua; Santi, Caterina - In: Journal of economic dynamics & control 127 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
Cover Image
The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
Cover Image
Okun's Law across time and frequencies
Aguiar-Conraria, Luís; Martins, Manuel Mota Freitas; … - In: Journal of economic dynamics & control 116 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012503221
Cover Image
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Guidolin, Massimo; Pedio, Manuela - In: Journal of economic dynamics & control 107 (2019), pp. 1-30
Persistent link: https://www.econbiz.de/10012312634
Cover Image
Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
Cover Image
Reconciling output gaps : unobserved components model and Hodrick-Prescott filter
Grant, Angelia L.; Chan, Joshua - In: Journal of economic dynamics & control 75 (2017), pp. 114-121
Persistent link: https://www.econbiz.de/10011817152
Cover Image
Structural vector autoregressions with smooth transition in variances
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Journal of economic dynamics & control 84 (2017), pp. 43-57
Persistent link: https://www.econbiz.de/10011916171
Cover Image
DSGE model with financial frictions over subsets of business cycle frequencies
Gallegati, Marco; Giri, Federico; Palestrini, Antonio - In: Journal of economic dynamics & control 100 (2019), pp. 152-163
Persistent link: https://www.econbiz.de/10012130956
Cover Image
Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016