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How flexible are the inflation targets? : a Bayesian MCMC estimator of the long memory parameter in a state space model
Andersson, Fredrik N. G.; Li, Yushu - 2013
Persistent link: https://www.econbiz.de/10010227501
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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian - 2013
Persistent link: https://www.econbiz.de/10010243571
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2013
Persistent link: https://www.econbiz.de/10010245443
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Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox
Nonejad, Nima - In: Journal of time series econometrics 8 (2016) 1, pp. 55-90
Persistent link: https://www.econbiz.de/10011440481
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Hidden Markov model for municipal waste generation forecasting under uncertainties
Jiang, P.; Liu, X. - In: European journal of operational research : EJOR 250 (2016) 2, pp. 639-651
Persistent link: https://www.econbiz.de/10011441731
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Estimation and filtering of nonlinear MS-DSGE models
Ivashchenko, Sergey - 2016
Persistent link: https://www.econbiz.de/10011551520
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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
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Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-Switching TVP-VARS
Bekiros, Stelios D.; Paccagnini, Alessia - In: Macroeconomic dynamics 19 (2015) 7, pp. 1565-1592
Persistent link: https://www.econbiz.de/10011515386
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Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
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On stationary recursive equilibria and nondegenerate state spaces : the Huggett model
Kam, Timothy; Lee, Junsang - In: Journal of mathematical economics 50 (2014), pp. 156-159
Persistent link: https://www.econbiz.de/10010476821