Narrow search
Showing 1 - 10 of 2,423
Cover Image
Testing conditional asymmetry : a residual-based approach
Lambert, Philippe; Laurent, Sébastien; Veredas, David - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1229-1247
Persistent link: https://www.econbiz.de/10009655696
Cover Image
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut; Schlaak, Thore - In: Journal of economic dynamics & control 101 (2019), pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
Cover Image
Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut; Milunovich, George - In: Journal of economic dynamics & control 73 (2016), pp. 241-258
Persistent link: https://www.econbiz.de/10011709107
Cover Image
Simulation-based exact jump tests in models with conditional heteroskedasticity
Khalaf, Lynda; Saphores, Jean-Daniel M.; Bilodeau, … - In: Journal of economic dynamics & control 28 (2003) 3, pp. 531-553
Persistent link: https://www.econbiz.de/10001853762
Cover Image
An investigation of an unbiased correction for heteroskedasticity and the effects of misspecifying the skedastic function
Belsley, David A. - In: Journal of economic dynamics & control 26 (2002) 9/10, pp. 1379-1396
Persistent link: https://www.econbiz.de/10001668343
Cover Image
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - In: Journal of economic dynamics & control 113 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012502522
Cover Image
Assessing DSGE model nonlinearities
Aruoba, S. Borağan; Bocola, Luigi; Schorfheide, Frank - In: Journal of economic dynamics & control 83 (2017), pp. 34-54
Persistent link: https://www.econbiz.de/10011915578
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
Numerical issues in threshold autoregressive modeling of time series
Coakley, Jerry; Fuertes, Ana María; Pérez, María-Teresa - In: Journal of economic dynamics & control 27 (2003) 11/12, pp. 2219-2242
Persistent link: https://www.econbiz.de/10001768920
Cover Image
Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012504161