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Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014431618

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014316029

Bayesian analysis of latent threshold dynamic models

Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164

Persistent link: https://www.econbiz.de/10009754013

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

Non-stationarity in Garch models : a Bayesian analysis

Kleibergen, F.; Dijk, H. K. van - 1993

Persistent link: https://www.econbiz.de/10000122423

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477

Heterocedasticity robust panel unit root tests

Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 112-135

Persistent link: https://www.econbiz.de/10010380473

Bayesian Unit Root Test in Double Threshold Heteroskedastic Models

Chen, Cathy; Chen, Shu-Yu; Lee, Sangyeol - In: Computational Economics 42 (2013) 4, pp. 471-490

This paper aims to detect the presence of local non-stationarity of nonlinear autoregressive processes with heteroskedastic errors. A Bayesian test is developed to test for the unit root in multi-regime threshold autoregression with heteroskedasticity. To implement a test, a posterior odds...

Persistent link: https://www.econbiz.de/10010866876

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123

Persistent link: https://www.econbiz.de/10013168928

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - 2018

The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … function to develop news impact curves. We consider Bayesian MCMC estimation to allow non-normal posterior distributions. For … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …

Persistent link: https://www.econbiz.de/10011794277