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The influence of structural changes in volatility on shock transmission and volatility spillover among Iranian gold and foreign exchange markets

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Structural changes in high dimensional factor models

Bai, Jushan; Han, Xu - In: Frontiers of economics in China : selected publications … 11 (2016) 1, pp. 9-39

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Modeling high-frequency volatility with three-state FIGARCH models

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Clustering macroeconomic variables

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Learning from errors while forecasting inflation : a case for intercept correction

Malik, Muhammad Jahanzeb; Hanif, Muhammad Nadim - In: International econometric review 11 (2019) 1, pp. 24-38

Structural changes are quite common in macroeconomic time series. Moreover, any underlying macroeconomic relationship cannot be correctly specified unless we know the true model. Structural changes in time series and misspecification in empirical model are observed as shifts in the constant of...

Persistent link: https://www.econbiz.de/10012040055