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GARCH Models with Long Memory and Nonparametric Specifications
Conrad, Christian - 2006
Persistent link: https://www.econbiz.de/10003402366
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The decline in r* according to a robust multivariate trend-cycle decomposition
Morley, James C.; Trung Duc Tran; Wong, Benjamin - 2022
Persistent link: https://www.econbiz.de/10012878807
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A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*
Morley, James C.; Trung Duc Tran; Wong, Benjamin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 665-680
Persistent link: https://www.econbiz.de/10015053441
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Decomposing changes in the conditional variance of GDP over time
Amini, Shahram; Battisti, Michele; Parmeter, Christopher F. - In: Economic modelling 61 (2017), pp. 376-387
Persistent link: https://www.econbiz.de/10011736899
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Nonparametric modeling and forecasting electricity demand : an empirical study
Shang, Han Lin - 2010
Persistent link: https://www.econbiz.de/10008759304
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Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
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Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
Chen, Xiangjin Bruce - 2013
evaluation, the nonparametric TVC-HAR model was found to consistently outperform the calibrated TVC-HAR and the simple HAR models …
Persistent link: https://www.econbiz.de/10013076694
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Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - 2013
Persistent link: https://www.econbiz.de/10010189526
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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Semiparametric estimation and model selection for conditional mixture copula models
Liu, Guannan; Long, Wei; Yang, Bingduo; Cai, Zongwu - 2021
Persistent link: https://www.econbiz.de/10012425393