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~isPartOf:"International Journal of Energy Economics and Policy : IJEEP"
~isPartOf:"Journal of econometrics"
~subject:"Volatility"
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Search: subject_exact:"State space model"
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Volatility
State space model
65
Zustandsraummodell
65
Time series analysis
35
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35
Theorie
27
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27
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Gaytan, Jesus Cuauhtemoc Tellez
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Poon, Aubrey
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Rafiuddin, Aqila
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1
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International Journal of Energy Economics and Policy : IJEEP
Journal of econometrics
Discussion paper / Tinbergen Institute
16
Energy economics
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Economic modelling
14
Finance research letters
11
International review of financial analysis
9
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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Working paper / Department of Econometrics and Business Statistics, Monash University
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CAMA working paper series
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3
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International journal of finance & economics : IJFE
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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1
Pass-through effects of oil prices on LATAM emerging stocks before and during COVID-19 : an evidence from a Wavelet -VAR analysis
Gaytan, Jesus Cuauhtemoc Tellez
;
Rafiuddin, Aqila
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
13
(
2023
)
1
,
pp. 529-543
Persistent link: https://www.econbiz.de/10014250921
Saved in:
2
Trend of oil prices, gold, GCC stocks market during Covid-19 pandemic : a wavelet approach
Rafiuddin, Aqila
;
Daffodils, Jennifer
;
Gaytan, Jesus …
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
4
,
pp. 560-572
Persistent link: https://www.econbiz.de/10012629887
Saved in:
3
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
4
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
5
Does agricultural commodity price co-move with oil price in the time-frequency space? : evidence from the Republic of Korea
Meng, Xiangcai
- In:
International Journal of Energy Economics and Policy : IJEEP
8
(
2018
)
4
,
pp. 125-133
Persistent link: https://www.econbiz.de/10011881423
Saved in:
6
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
Saved in:
7
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
8
Particle efficient importance sampling
Scharth, Marcel
;
Kohn, Robert
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
Saved in:
9
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
10
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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