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Large order-invariant Bayesian VARs with stochastic volatility
Chan, Joshua; Koop, Gary; Yu, Xuewen - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 825-837
Persistent link: https://www.econbiz.de/10015053470
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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Trend inflation estimates for Thailand from disaggregated data
Pym Manopimoke; Vorada Limjaroenrat - In: Economic modelling 65 (2017), pp. 75-94
Persistent link: https://www.econbiz.de/10011813600
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Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - 2018 - Current draft: February 16, 2018
Persistent link: https://www.econbiz.de/10011867086
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Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - 2017 - Revised version
Persistent link: https://www.econbiz.de/10011746888
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Testing for time variation in an unobserved components model for the U.S. economy
Berger, Tino; Everaert, Gerdie; Vierke, Hauke - In: Journal of economic dynamics & control 69 (2016), pp. 179-208
Persistent link: https://www.econbiz.de/10011708530
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Are long-run output growth rates falling?
Li, Mengheng; Mendieta-Muñoz, Ivan - 2018
-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …
Persistent link: https://www.econbiz.de/10011823990
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Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
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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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Testing for a single-factor stochastic volatility in bivariate series
Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61
single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by …
Persistent link: https://www.econbiz.de/10011555751