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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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A general theory (and some evidence) of expectation traps in monetary policy
Armenter, Roc - In: Journal of money, credit and banking : JMCB 40 (2008) 5, pp. 867-895
Persistent link: https://www.econbiz.de/10003741037
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A Bayesian analysis of return dynamics with Lévy jumps
Li, Haitao; Wells, Martin T.; Yu, Cindy L. - In: The review of financial studies 21 (2008) 5, pp. 2345-2378
Persistent link: https://www.econbiz.de/10003765224
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Essays on Bayesian econometrics
Radchenko, Stanislav - 2002
Persistent link: https://www.econbiz.de/10003780474
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A further extension of duration-dependent models
Isogai, Akifumi; Kanoh, Satoru; Tokunaga, Toshifumi - In: The European journal of finance 14 (2008) 5/6, pp. 427-449
Persistent link: https://www.econbiz.de/10003772080
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Recent developments in the measurement of labor market activity
Skoog, Gary R.; Ciecka, James E. - In: Developments in litigation economics, (pp. 119-157). 2005
Persistent link: https://www.econbiz.de/10003324943
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Food consumption dynamics : a nonparametric approach using maximum entropy estimation
Stokes, Jeffrey R.; Frechette, Darren L. - In: Agricultural economics : the journal of the … 34 (2006) 3, pp. 281-290
Persistent link: https://www.econbiz.de/10003324971
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Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the US gasoline market
Radchenko, Stanislav; Tsurumi, Hiroki - In: Journal of econometrics 133 (2006) 1, pp. 31-49
Persistent link: https://www.econbiz.de/10003354223