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Maximum likelihood estimation for dynamic factor models with missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of economic dynamics & control 35 (2011) 8, pp. 1358-1368
Persistent link: https://www.econbiz.de/10009241401
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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
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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
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Modelling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Baillie, Richard; Morana, Claudio - In: Journal of economic dynamics & control 33 (2009) 8, pp. 1577-1592
Persistent link: https://www.econbiz.de/10003861075
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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
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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
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The risk return relationship : evidence from index returns and realised variances
Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012312640
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Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012313608
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Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. - In: Journal of economic dynamics & control 100 (2019), pp. 297-313
Persistent link: https://www.econbiz.de/10012130974
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Estimation of correlations in portfolio credit risk models based on noisy security prices
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349
Persistent link: https://www.econbiz.de/10011589542