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The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation

Dimitrakopoulos, Stefanos - In: Economics letters 155 (2017), pp. 14-18

Persistent link: https://www.econbiz.de/10011821483

Ordinal-response GARCH models for transaction data : a forecasting exercise

Dimitrakopoulos, Stefanos; Tsionas, Efthymios G. - In: International journal of forecasting 35 (2019) 4, pp. 1273-1287

Persistent link: https://www.econbiz.de/10012305278

Bayesian analysis of periodic asymmetric power GARCH models

Aknouche, Abdelhakim; Demmouche, Nacer; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012299605

Discrete-response state space models with conditional heteroscedasticity : an application to forecasting the federal funds rate target

Dimitrakopoulos, Stefanos; Dey, Dipak - In: Economics letters 154 (2017), pp. 20-23

Persistent link: https://www.econbiz.de/10011810690

Ordinal-Response GARCH Models for Transaction Data : A Forecasting Exercise

Dimitrakopoulos, Stefanos - 2018

Using high-frequency transaction data, we evaluate the forecasting performance of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity. The specifications account for three components; leverage effects, in-mean effects and moving...

Persistent link: https://www.econbiz.de/10012915279

Forecasting transaction counts with integer-valued GARCH models

Aknouche, Abdelhakim; Almohaimeed, Bader S.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 4, pp. 529-539

Persistent link: https://www.econbiz.de/10013453761