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Bayesian analysis of periodic asymmetric power GARCH models

Aknouche, Abdelhakim; Demmouche, Nacer; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012299605

Forecasting transaction counts with integer-valued GARCH models

Aknouche, Abdelhakim; Almohaimeed, Bader S.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 4, pp. 529-539

Persistent link: https://www.econbiz.de/10013453761

Accounting for persistence in panel count data models : an application to the number of patents awarded

Dimitrakopoulos, Stefanos - In: Economics letters 171 (2018), pp. 245-248

Persistent link: https://www.econbiz.de/10012021796

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14

Persistent link: https://www.econbiz.de/10011761750

The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation

Dimitrakopoulos, Stefanos - In: Economics letters 155 (2017), pp. 14-18

Persistent link: https://www.econbiz.de/10011821483

Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions

Aknouche, Abdelhakim - In: Journal of time series econometrics 5 (2013) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10009753102

Implication of instability on econometric and financial time series modeling

Aknouche, Abdelhakim - In: Econometrics : new research, (pp. 149-186). 2012

Persistent link: https://www.econbiz.de/10009614488

Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes

Aknouche, Abdelhakim - In: Progress in economics research 32 (2015), pp. 169-190

Persistent link: https://www.econbiz.de/10011406594

Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions

Aknouche, Abdelhakim - In: Journal of time series econometrics 5 (2013) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10010147982

Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series

Dimitrakopoulos, Stefanos - 2017

We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using simulated data and a real data set. We compare the...

Persistent link: https://www.econbiz.de/10012956581