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source:"econis"
subject:"Estimation"
~accessRights:"restricted"
~person:"Chan, Joshua"
~person:"Pierdzioch, Christian"
~subject:"Price stickiness"
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Estimation
Price stickiness
Theorie
34
Theory
34
Schätzung
15
Forecasting model
14
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14
Volatility
14
Volatilität
14
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Chan, Joshua
Pierdzioch, Christian
Gupta, Rangan
18
Marcellino, Massimiliano
18
Serletis, Apostolos
17
Galí, Jordi
13
Gil-Alaña, Luis A.
13
Alvarez, Fernando
12
Kumbhakar, Subal
11
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10
Jawadi, Fredj
10
Lippi, Francesco
10
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9
Kelly, Bryan T.
9
Rubio-Ramírez, Juan Francisco
9
Timmermann, Allan
9
Engel, Charles
8
Fabozzi, Frank J.
8
Rossi, Barbara
8
Schmitt-Grohé, Stephanie
8
Uribe, Martín
8
Xu, Libo
8
Baumeister, Christiane
7
Egger, Peter
7
Forni, Mario
7
Gertler, Mark
7
Ghysels, Eric
7
Hamilton, James D.
7
Jalles, João Tovar
7
Jordà, Òscar
7
Koopman, Siem Jan
7
Martínez-García, Enrique
7
Müller, Gernot J.
7
Petrella, Ivan
7
Tsionas, Efthymios G.
7
Afonso, Oscar
6
Albuquerque, Rui
6
Arbia, Giuseppe
6
Barnett, William A.
6
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2
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2
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1
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1
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:
2
On the predictive value of the (shadow) real interest rate for the realized volatility of gold-price returns
Pierdzioch, Christian
;
Rohloff, Sebastian
;
Campe, Roland von
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014442354
Saved in:
3
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
4
Risk aversion and the predictability of crude oil market volatility : a forecasting experiment with random forests
Demirer, Rıza
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
- In:
Journal of the Operational Research Society
73
(
2022
)
8
,
pp. 1755-1767
Persistent link: https://www.econbiz.de/10013373057
Saved in:
5
Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua
;
Santi, Caterina
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
Saved in:
6
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
Saved in:
7
Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
Chang, Tsangyao
;
Gupta, Rangan
;
Majumdar, Anandamayee
; …
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 458-467
Persistent link: https://www.econbiz.de/10012203261
Saved in:
8
The predictive value of inequality measures for stock returns : an analysis of long-span UK data using quantile random forests
Gupta, Rangan
;
Pierdzioch, Christian
;
Vivian, Andrew J.
; …
- In:
Finance research letters
29
(
2019
),
pp. 315-322
Persistent link: https://www.econbiz.de/10012419133
Saved in:
9
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
Saved in:
10
Comparing hybrid time-varying parameter VARs
Chan, Joshua
;
Eisenstat, Eric
- In:
Economics letters
171
(
2018
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012021809
Saved in:
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