Narrow search
Showing 1 - 10 of 13,803
Cover Image
Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - 2018 - Current draft: February 16, 2018
Persistent link: https://www.econbiz.de/10011867086
Cover Image
Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - 2017 - Revised version
Persistent link: https://www.econbiz.de/10011746888
Cover Image
Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …
Persistent link: https://www.econbiz.de/10011809984
Cover Image
Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Cover Image
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Cover Image
The state space representation and estimation of a time-varying parameter VAR with stochastic volatility
Doh, Taeyoung; Connolly, Michael - 2012
Persistent link: https://www.econbiz.de/10009575454
Cover Image
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Barunik, Jozef; Vácha, Lukáš - 2014
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time … variation estimators. We use different simulation settings with changing noise as well as jump level in different price …
Persistent link: https://www.econbiz.de/10010407510
Cover Image
Bayesian estimation of the long-run trend of the US economy
Kim, Jaeho; Chon, Sora - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 461-485
Persistent link: https://www.econbiz.de/10012819475
Cover Image
Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …
Persistent link: https://www.econbiz.de/10012924242
Cover Image
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461
Persistent link: https://www.econbiz.de/10012620715