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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
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Pitfalls of estimating the marginal likelihood using the modified harmonic mean
Chan, Joshua; Grant, Angelia L. - In: Economics letters 131 (2015), pp. 29-33
Persistent link: https://www.econbiz.de/10011422529
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Issues in comparing stochastic volatility models using the deviance information criterion
Chan, Joshua; Grant, Angelia L. - 2014
Persistent link: https://www.econbiz.de/10011341989
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Pitfalls of estimating the marginal likelihood using the modified harmonic mean
Chan, Joshua; Grant, Angelia L. - 2015
Persistent link: https://www.econbiz.de/10011342444
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Fast computation of the deviance information criterion for latent variable models
Chan, Joshua; Grant, Angelia L. - 2014
Persistent link: https://www.econbiz.de/10010244614
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Modeling energy price dynamics : GARCH versus stochastic volatility
Chan, Joshua; Grant, Angelia L. - In: Energy economics 54 (2016), pp. 182-189
Persistent link: https://www.econbiz.de/10011662805
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On the observed-data deviance information criterion for volatility modeling
Chan, Joshua; Grant, Angelia L. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 772-802
Persistent link: https://www.econbiz.de/10011623867
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A regime switching skew-normal model of contagion
Chan, Joshua; Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012054868
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Comparing hybrid time-varying parameter VARs
Chan, Joshua; Eisenstat, Eric - In: Economics letters 171 (2018), pp. 1-5
Persistent link: https://www.econbiz.de/10012021809
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Comparing hybrid time-varying parameter VARs
Chan, Joshua; Eisenstat, Eric - 2018
Persistent link: https://www.econbiz.de/10012202336