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Forecasting with shadow-rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2021

Persistent link: https://www.econbiz.de/10012587188

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - 2016

Persistent link: https://www.econbiz.de/10011541411

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

Forecasting structural change and fat-tailed events in Australian macroeconomic variables

Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51

Persistent link: https://www.econbiz.de/10011647028

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Do structural breaks in volatility cause spurious volatility transmission?

Caporin, Massimiliano; Malik, Farooq - In: Journal of empirical finance 55 (2020), pp. 60-82

Persistent link: https://www.econbiz.de/10012175260

Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 375-390

Persistent link: https://www.econbiz.de/10011691646

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298

Persistent link: https://www.econbiz.de/10011972846

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

Persistent link: https://www.econbiz.de/10010394614