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Measuring business cycles : empirical evidence based on an unobserved component approach

Alqaralleh, Huthaifa - In: Cogent economics & finance 7 (2019) 1, pp. 1-10

We adopt an unobserved components time series model to track the business cycles in the G7 countries using the Industrial production index over the period from 1:1961 to 8:2017. The advantage of adopting the industrial production series frequency is that the business cycle can be investigated in...

Persistent link: https://www.econbiz.de/10012023355

Hawkes-based models for high frequency financial data

Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185

Persistent link: https://www.econbiz.de/10013532430

High-dimensional copula-based distributions with mixed frequency data

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10011704954

An examination of higher moments of Latin American equity returns distributions

Grieb, Terrance - In: Journal of emerging markets 12 (2007) 1, pp. 44-54

Persistent link: https://www.econbiz.de/10003455734

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

Semiparametric density forecasts of daily financial returns from intraday data

Hallam, Mark; Olmo, Jose - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 408-432

Persistent link: https://www.econbiz.de/10010351542

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Testing of a market fraction model and power-law behaviour in the DAX 30

He, Xue-zhong; Li, Youwei - In: Journal of empirical finance 31 (2015), pp. 1-17

Persistent link: https://www.econbiz.de/10011489318

Modeling and forecasting realized volatility : evidence from Brazil

Wink Junior, Marcos Vinício; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337

Persistent link: https://www.econbiz.de/10010402885

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362