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Markov-switching models with unknown error distributions : identification and inference within the Bayesian framework

Hwu, Shih-Tang; Kim, Chang-jin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 177-199

Persistent link: https://www.econbiz.de/10014631899

Application of Bayesian methods in the analysis of dynamic conditional correlation multivariate GARCH models

Gudeta, Dechassa Obsi - In: International journal of computational economics and … 15 (2025) 1/2, pp. 116-146

Persistent link: https://www.econbiz.de/10015399421

Bootstrap VAR forecasts : the effect of model uncertainties

Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293

Persistent link: https://www.econbiz.de/10012817747

Testing error distribution by kernelized Stein discrepancy in multivariate time series models

Luo, Donghang; Zhu, Ke; Gong, Huan; Li, Dong - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 111-125

Persistent link: https://www.econbiz.de/10013540650

Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components

Theodossiou, Panayiotis; Ellina, Polina; Savva, Christos S. - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 695-716

Persistent link: https://www.econbiz.de/10013459306

The nonparametric locationscale mixture cure model

Chown, Justin; Heuchenne, Cédric; Van Keilegom, Ingrid - 2018

Persistent link: https://www.econbiz.de/10012050816

The continuous-time limit of score-driven volatility models

Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; … - In: Journal of econometrics 221 (2021) 2, pp. 655-675

Persistent link: https://www.econbiz.de/10012619254

Bayesian estimation for a semiparametric nonlinear volatility model

Hu, Shuowen; Poskitt, Donald Stephen; Zhang, Xibin - In: Economic modelling 98 (2021), pp. 361-370

Persistent link: https://www.econbiz.de/10012793996

Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components

Ioannidis, Filippos; Kosmidou, Kyriaki; Savva, Christos; … - In: Energy economics 95 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012816560

Identification and method of moments estimation in polynomial measurement error models

Biørn, Erik - 2017

Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

Persistent link: https://www.econbiz.de/10011694188

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