series include every M-state Markov switching multivariate moving average models and autoregressive models in which the … models. Data simulations and an application on foreign exchange rates complete the paper …

volatility models can improve the accuracy of 1-day ahead VaR forecasting beyond the performance of frequently used models. As … such, this paper constructs 60 conditional volatility forecasting models. Several extensions of the GARCH model are … included, such as the nonlinear and asymmetric models. Moreover, several return distributions are assumed for the error term …

economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method … class of models, which can be represented and estimated without information loss. The proposed framework elucidates the …

evolution has been largely fostered by official statistics’ digital transformation during the last decade. The COVID-19 pandemic …

This paper provides partial identification results for latent utility models that satisfy an invariance property on …

We develop a new estimation methodology for dynamic optimization models with unobserved state variables Our approach is …