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High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

Monetary and fiscal policy interactions in Nigeria : an application of a state-space model with Markov-switching

Chuku, Chuku Agbai - In: CBN journal of applied statistics 1 (2010) 1, pp. 39-51

This paper uses quarterly data to explore the monetary and fiscal policy interactions in Nigeria between 1970 and 2008. As a preliminary exercise, the paper examines the nature of fiscal policies in Nigeria using a vector autoregression (VAR) model. The simulated generalized impulse response...

Persistent link: https://www.econbiz.de/10011477833

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

Portfolio optimisation under flexible dynamic dependence modelling

Bernardi, Mauro; Catania, Leopoldo - In: Journal of empirical finance 48 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10012109219

Revisiting the transitional dynamics of business cycle phases with mixed-frequency data

Bessec, Marie - In: Econometric reviews 38 (2019) 7, pp. 711-732

Persistent link: https://www.econbiz.de/10012181350

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 285-302

Persistent link: https://www.econbiz.de/10012262467

A new approach to volatility modeling : the high-dimensional Markov Model

Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - 2016

Persistent link: https://www.econbiz.de/10011894434

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2017

Persistent link: https://www.econbiz.de/10011793192

Forecasting remittances to Mexico with a multi-state Markov-Switching model applied to the trend with controlled smoothness

Islas, A.; Guerrero, Víctor M.; Silva, Eliud - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 38-56

Persistent link: https://www.econbiz.de/10012021961

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2016 - This version: November, 2016

Persistent link: https://www.econbiz.de/10011805831

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