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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …
Persistent link: https://www.econbiz.de/10011334849
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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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Do the export reactions to exchange rate and exchange rate volatility differ depending on technology intensity? : new evidences from the panel SVAR analysis
Aslan, Caglayan; Akpiliç, Ferdi - In: Empirical economics : a quarterly journal of the … 66 (2024) 4, pp. 1587-1631
Persistent link: https://www.econbiz.de/10014519939
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On the centenary of the German hog cycle : new findings
Parker, Phillip S.; Shonkwiler, John Scott - In: European review of agricultural economics : ERAE 41 (2014) 1, pp. 47-61
Persistent link: https://www.econbiz.de/10010426035
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10008856398
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10009010169
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285
Persistent link: https://www.econbiz.de/10010256161
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Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013129942