Narrow search
Showing 1 - 10 of 253
Cover Image
Efficient bond price approximations in nonlinear equilibrium-based term structure models
Andreasen, Martin Møller; Zabczyk, Pawel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011311205
Cover Image
Dissecting skewness under affine jump-diffusions
Zhen, Fang; Zhang, Jin E. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012299592
Cover Image
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Cover Image
Common large innovations across nonlinear time series
Franses, Philip Hans; Paap, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 251-263
Persistent link: https://www.econbiz.de/10009739551
Cover Image
Multivariate extension of the Hodrick-Prescott filter-optimality and characterization
Dermoune, Azzouz; Djehiche, Boualem; Rahmania, Nadji - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-33
Persistent link: https://www.econbiz.de/10009513575
Cover Image
On the estimation of regime-switching Lévy models
Chevallier, Julien; Goutte, Stéphane - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Cover Image
Estimating trends in weather series : consequences for pricing derivatives
Jewson, Stephen (contributor); Penzer, Jeremy (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-15
Persistent link: https://www.econbiz.de/10003559115
Cover Image
Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
Cover Image
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011897536
Cover Image
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10011966001