Similar Search Results

Income inequality, volatility, and mobility risk in China and the US

Nichols, Austin - In: China economic review : an international journal 21 (2010), pp. 3-11

Persistent link: https://www.econbiz.de/10009304851

Missing mean does no harm to volatility!

Anatolyev, Stanislav; Tarasyuk, Irina - In: Economics letters 134 (2015), pp. 62-64

Persistent link: https://www.econbiz.de/10011432253

Large vector autoregressions with stochastic volatility and flexible priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016

Persistent link: https://www.econbiz.de/10011549652

Advances in the prediction of stock market volatility

Hamid, Alain - 2015

Persistent link: https://www.econbiz.de/10011414413

Using a normal jump-diffusion model for interest variation in a low-rate and high-volatility environment

Huotari, Antti - 2016

Persistent link: https://www.econbiz.de/10011478288

Time series econometrics

Neusser, Klaus - 2016

Persistent link: https://www.econbiz.de/10011485298

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

Persistent link: https://www.econbiz.de/10011373232

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145

Persistent link: https://www.econbiz.de/10011378591

Modeling and forecasting realized covariance matrices with accounting for leverage

Anatolyev, Stanislav; Kobotaev, Nikita - In: Econometric reviews 37 (2018) 1/5, pp. 114-139

Persistent link: https://www.econbiz.de/10012038156

1
2
3
4
5
6
7
8
9
10
Next
Last