Similar Search Results - EconBiz

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021

-varying correlation parameter in the covariance matrix of the transition equation’s error terms. We treat the latter parameter as a state … employs cubic splines for the auxiliary model, and a bootstrap filter method to estimate the time-varying correlation together …

Persistent link: https://www.econbiz.de/10013245231

On the identification of multivariate correlated unobserved components models

Trenkler, Carsten; Weber, Enzo - In: Economics letters 138 (2016), pp. 15-18

Persistent link: https://www.econbiz.de/10011615339

Multivariate fractional components analysis

Hartl, Tobias; Weigand, Roland - 2019

Persistent link: https://www.econbiz.de/10011962831

Long-run wavelet-based correlation for financial time series

Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696

Persistent link: https://www.econbiz.de/10011890368

Causality in continuous wavelet transform without spectral matrix factorization : theory and application

Olayeni, Olaolu Richard - In: Computational economics 47 (2016) 3, pp. 321-340

Persistent link: https://www.econbiz.de/10011712373

A joint model for the term structure of interest rates and realized volatility

Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227

Persistent link: https://www.econbiz.de/10014391449

Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH

Ghosh, Indranil; Sanyal, Manas Kumar; Jana, R. K. - In: Computational economics 57 (2021) 2, pp. 503-527

Persistent link: https://www.econbiz.de/10012486945

The relationship between output and asset prices : a time, and frequency, varying approach

Su, Chi-Wei; Yao, Zong-Liang; Chang, Hsu-Ling - In: Theoretical and applied economics : GAER review 23 (2016) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10011563088

The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains

Li, Xiao-Lin; Chang, Tsangyao; Miller, Stephen M.; … - In: International review of economics & finance : IREF 38 (2015), pp. 220-233

Persistent link: https://www.econbiz.de/10011572379

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