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Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012203994
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012196752
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Estimating high dimensional multivariate stochastic volatility models
Pelagatti, Matteo; Sbrana, Giacomo - 2020
Persistent link: https://www.econbiz.de/10012318391
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Are long-run output growth rates falling?
Li, Mengheng; Mendieta-Muñoz, Ivan - 2018
-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …
Persistent link: https://www.econbiz.de/10011823990
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2020 - This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
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Wavelet estimation of Gegenbauer processes : simulation and empirical application
Boubaker, Heni - In: Computational economics 46 (2015) 4, pp. 551-574
Persistent link: https://www.econbiz.de/10011478889
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Performance comparison of modified HP filter, wavelet analysis, and empirical mode decomposition for smoothing macroeconomic time series
Iqbal, Javed; Hanif, Muhammad Nadim - 2017
Persistent link: https://www.econbiz.de/10011623347
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Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
Persistent link: https://www.econbiz.de/10001718624