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Inference without smoothing for large panels with cross-sectional and temporal dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - In: Journal of econometrics 223 (2021) 1, pp. 125-160

Persistent link: https://www.econbiz.de/10012619963

Inference without smoothing for large panels with cross-sectional and temporal dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - 2017

Persistent link: https://www.econbiz.de/10011889214

Business cycle and Markov switching models with distributed lags : a comparison between US and euro area

Billio, Monica; Cavicchioli, Maddalena - In: Rivista italiana degli economisti : the journal of the … 19 (2014) 2, pp. 253-276

Persistent link: https://www.econbiz.de/10010407958

Autocovariance and linear transformations of Markov switching VARMA processes

Cavicchioli, Maddalena - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 275-289

Persistent link: https://www.econbiz.de/10010503008

On the existence of calendar anomalies and persistence in the daily returns of the PSEi

Carpio, Kristine Joy E. - In: DLSU business & economics review 28 (2018) 1, pp. 49-66

Persistent link: https://www.econbiz.de/10012263886

Stationarity and ergodicity of vector STAR models

Kheifets, Igor L.; Saikkonen, Pentti J. - In: Econometric reviews 39 (2020) 4, pp. 407-414

Persistent link: https://www.econbiz.de/10012181431

Peaks, gaps, and time reversibility of economic time series

Proietti, Tommaso - 2020

Persistent link: https://www.econbiz.de/10012487817

Extracting rules via Markov chains for cryptocurrencies returns forecasting

Felix do Nascimento, Kerolly Kedma; Santos, Fábio … - In: Computational economics 61 (2023) 3, pp. 1095-1114

Persistent link: https://www.econbiz.de/10014252144

Modeling multivariate time series with copula-linked univariate D-vines

Zhao, Zifeng; Shi, Peng; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 690-704

Persistent link: https://www.econbiz.de/10013534062

Multivariate Stochastic Volatility via Wishart Processes - A Continuation

Rinnergschwentner, Wolfgang; Tappeiner, Gottfried; … - 2011

This paper picks up on a model developed by Philipov and Glickman (2006) for modeling multivariate stochastic volatility via Wishart processes. MCMC simulation from the posterior distribution is employed to fit the model. However, erroneous mathematical transformations in the full conditionals...

Persistent link: https://www.econbiz.de/10010294794