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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348808
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Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series
Dimitrakopoulos, Stefanos - 2017
leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using …
Persistent link: https://www.econbiz.de/10012956581
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665
Persistent link: https://www.econbiz.de/10011592382
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Measuring the international dimension of output volatility
Everaert, Gerdie; Iseringhausen, Martin - In: Journal of international money and finance 81 (2018), pp. 20-39
Persistent link: https://www.econbiz.de/10012000018
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Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
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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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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - 2015
Persistent link: https://www.econbiz.de/10011758150
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Evolution of the exchange rate pass-through into prices in Peru : an empirical application using TVP-VAR-SV models
Rodriguez, Gabriel; Castillo B., Paul; Calero, Roberto; … - In: Journal of international money and finance 142 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10014549830
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Is unemployment hysteretic or structural? : a Bayesian model selection approach
Clavijo-Cortes, Pedro - In: Empirical economics : a quarterly journal of the … 65 (2023) 6, pp. 2837-2866
Persistent link: https://www.econbiz.de/10014388985