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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

Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models

Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86

Persistent link: https://www.econbiz.de/10012222592

A flexible mixed-frequency vector autoregression with a steady-state prior

Ankargren, Sebastian; Unosson, Måns; Yang, Yukai - In: Journal of time series econometrics 12 (2020) 2, pp. 1-41

Persistent link: https://www.econbiz.de/10012300798

A new model of inflation, trend inflation, and long-run inflation expectations

Chan, Joshua; Clark, Todd E.; Koop, Gary - 2015

Persistent link: https://www.econbiz.de/10011386660

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

model for the autoregressive coefficient matrices and a multivariate dynamic volatility model for the variance matrix of the … and robustness of the method against potential misspecifications of the volatility in the disturbance vector. We further …

Persistent link: https://www.econbiz.de/10012591572

A latent factor model for forecasting realized variances

Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909

Persistent link: https://www.econbiz.de/10012799052

Jump Interdependencies : stochastic linkages among international stock markets

Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012822184

Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility

Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10012649885

Inference on self-exciting jumps in prices and volatility using high-frequency measures

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532

Persistent link: https://www.econbiz.de/10011694633

Measuring stock market uncertainty

Dakey, Prasad Teja - In: Theoretical and applied economics : GAER review 30 (2023) 2/635, pp. 199-162

Persistent link: https://www.econbiz.de/10014485211

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