Narrow search
Showing 191 - 200 of 79,850
Cover Image
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Cover Image
Forecasting macroeconomic variables under model instability
Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011704162
Cover Image
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
Cover Image
Bayesian dynamic modeling of high-frequency integer price changes
Barra, István; Borowska, Agnieszka; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
Cover Image
An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
Cover Image
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Cover Image
A class of non-Gaussian state space models with exact likelihood inference
Creal, Drew - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 585-597
Persistent link: https://www.econbiz.de/10011893816
Cover Image
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Cover Image
Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
Chesneau, Christophe; El Kolei, Salima; Navarro, Fabien - 2017
Persistent link: https://www.econbiz.de/10012200019
Cover Image
Modeling of stock indices with HMM-SV models
Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011795001