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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter

Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130

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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

ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models

Creel, Michael D.; Kristensen, Dennis - In: Journal of empirical finance 31 (2015), pp. 85-108

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Indirect inference for locally stationary models

Frazier, David T.; Koo, Bonsoo - 2020

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Methods for inference in large multiple-equation Markov-switching models

Sims, Christopher A. (contributor); … - 2006

The inference for hidden Markov chain models in which the structure is a multiple-equation macroeconomic model raises a number of difficulties that are not as likely to appear in smaller models. One is likely to want to allow for many states in the Markov chain without allowing the number of...