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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
European journal of operational research : EJOR
214
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116
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80
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1
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
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2
Bayesian model averaging for spatial autoregressive models based on convex combinations of different types of connectivity matrices
Debarsy, Nicolas
;
Lesage, James P.
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 547-558
Persistent link: https://www.econbiz.de/10013533452
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3
Modeling multivariate time series with copula-linked univariate D-vines
Zhao, Zifeng
;
Shi, Peng
;
Zhang, Zhengjun
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 690-704
Persistent link: https://www.econbiz.de/10013534062
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4
Bayesian approach to Lorenz curve using time series grouped data
Kobayashi, Genya
;
Yamauchi, Yuta
;
Kakamu, Kazuhiko
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 897-912
Persistent link: https://www.econbiz.de/10013534578
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5
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
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6
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
7
Markov-switching three-pass regression filter
Guérin, Pierre
;
Leiva-Leon, Danilo
;
Marcellino, …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
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8
A smooth transition finite mixture model for accommodating unobserved heterogeneity
Kappe, Eelco
;
DeSarbo, Wayne
;
Medeiros, Marcelo C.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 580-592
Persistent link: https://www.econbiz.de/10012262497
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9
Mixed marginal copula modeling
Gunawan, David
;
Khaled, Mohamad A.
;
Kohn, Robert
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 137-147
Persistent link: https://www.econbiz.de/10012179532
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10
Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
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11
A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
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12
Modeling endogenous mobility in earnings determination
Abowd, John M.
;
McKinney, Kevin L.
;
Schmutte, Ian M.
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 405-418
Persistent link: https://www.econbiz.de/10012178184
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13
Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío
;
Camacho, Maximo
;
Ruiz Marín, Manuel
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
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14
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
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15
Bayesian bandwidth estimation in nonparametric time-varying coefficient models
Cheng, Tingting
;
Gao, Jiti
;
Zhang, Xibin
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012175865
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16
Optimal forecasts from Markov switching models
Boot, Tom
;
Pick, Andreas
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 628-642
Persistent link: https://www.econbiz.de/10012249227
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17
Poisson-driven stationary Markov models
Anzarut, Michelle
;
Mena, Ramsés H.
;
Nava, Consuelo Rubina
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 684-694
Persistent link: https://www.econbiz.de/10012249233
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18
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
19
Bayesian inference for assessing effects of email marketing campaigns
Wu, Jiexing
;
Li, Kate J.
;
Liu, Jun S.
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 253-266
Persistent link: https://www.econbiz.de/10011894700
Saved in:
20
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
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21
Forecasting macroeconomic variables under model instability
Pettenuzzo, Davide
;
Timmermann, Allan
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 183-201
Persistent link: https://www.econbiz.de/10011704162
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22
A new class of bivariate threshold cointegration models
Cai, Biqing
;
Gao, Jiti
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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23
A class of non-Gaussian state space models with exact likelihood inference
Creal, Drew
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
4
,
pp. 585-597
Persistent link: https://www.econbiz.de/10011893816
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24
Sample selection and treatment effect estimation of lender of last resort policies
Vossmeyer, Angela
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 197-212
Persistent link: https://www.econbiz.de/10011691275
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25
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
26
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
Saved in:
27
Flexible modeling of dependence in volatility processes
Kalli, Maria
;
Griffin, Jim
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
Saved in:
28
Semiparametric conditional quantile estimation through copula-based multivariate models
Noh, Hohsuk
;
El Ghouch, Anouar
;
Van Keilegom, Ingrid
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
2
,
pp. 167-178
Persistent link: https://www.econbiz.de/10011390008
Saved in:
29
Density-tempered marginalized sequential Monte Carlo samplers
Duan, Jin-Chuan
;
Fulop, Andras
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
2
,
pp. 192-202
Persistent link: https://www.econbiz.de/10011390012
Saved in:
30
Bayesian inference in regime-switching ARMA models with aborbing states : the dynamics of the ex-antre real interest rate under regime shifts
Kim, Chang-jin
;
Kim, Jaeho
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 566-578
Persistent link: https://www.econbiz.de/10011403240
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31
Bayesian nonparametric instrumental variables regression based on penalized splines and Dirichlet process mixtures
Wiesenfarth, Manuel
;
Hisgen, Carlos Matías
;
Kneib, Thomas
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
3
,
pp. 468-482
Persistent link: https://www.econbiz.de/10010488460
Saved in:
32
Markov-Switching MIDAS models
Guérin, Pierre
;
Marcellino, Massimiliano
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
1
,
pp. 45-56
Persistent link: https://www.econbiz.de/10009715098
Saved in:
33
Modeling the conditional distribution of daily stock index returns : an alternative Bayesian semiparametric model
Kalli, Maria
;
Walker, Stephen G.
;
Damien, Paul
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 371-383
Persistent link: https://www.econbiz.de/10010337864
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34
Multivariate stochastic volatility via Wishart processes: a comment
Rinnergschwentner, Wolfgang
;
Tappeiner, Gottfried
; …
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
1
,
pp. 164
Persistent link: https://www.econbiz.de/10009558917
Saved in:
35
Job durations with worker- and firm-specific effects : MCMC estimation with longitudinal employer employee data
Horny, Guillaume
;
Mendes, Rute
;
Berg, Gerard J. van den
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
3
,
pp. 468-480
Persistent link: https://www.econbiz.de/10009658336
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36
An econometric analysis of some models for constructed binary time series
Harding, Don
;
Pagan, Adrian R.
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 86-95
Persistent link: https://www.econbiz.de/10009159112
Saved in:
37
Do leading indicators lead peaks more than troughs?
Paap, Richard
;
Segers, Rene
;
Dijk, Dick van
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 528-543
Persistent link: https://www.econbiz.de/10003913434
Saved in:
38
The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
2
,
pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
Saved in:
39
Bayesian analysis of the output gap
Planas, Christophe
;
Rossi, Alessandro
;
Fiorentini, Gabriele
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10003625190
Saved in:
40
A comparison of the real-time performance of business cycle dating methods
Chauvet, Marcelle
;
Piger, Jeremy Max
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
1
,
pp. 42-49
Persistent link: https://www.econbiz.de/10003625213
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41
Model-based clustering of multiple time series
Frühwirth-Schnatter, Sylvia
;
Kaufmann, Sylvia
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
1
,
pp. 78-89
Persistent link: https://www.econbiz.de/10003625239
Saved in:
42
Private insurance, selection, and health care use : a Bayesian analysis of a Roy-type model
Deb, Parta
;
Munkin, Murat K.
;
Trivedi, Pravin K.
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
4
,
pp. 403-415
Persistent link: https://www.econbiz.de/10003385137
Saved in:
43
An unobserved-component model with switching permanent and transitory innovations
Kuan, Chung-ming
;
Huang, Yu-lieh
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
4
,
pp. 443-454
Persistent link: https://www.econbiz.de/10003193476
Saved in:
44
Monetary policy in a Markov-switching vector error-correction model : implications for the cost of disinflation and the price puzzle
Francis, Neville
;
Owyang, Michael T.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
3
,
pp. 305-313
Persistent link: https://www.econbiz.de/10003012959
Saved in:
45
Exchange rates and Markov switching dynamics
Cheung, Yin-Wong
;
Erlandsson, Ulf G.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
3
,
pp. 314-320
Persistent link: https://www.econbiz.de/10003012970
Saved in:
46
Asset returns and state-dependent risk preferences
Gordon, Stephen F.
;
St.-Amour, Pascal
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
3
,
pp. 241-252
Persistent link: https://www.econbiz.de/10002135486
Saved in:
47
Bayesian analysis of the heterogeneity model
Frühwirth-Schnatter, Sylvia
;
Tüchler, Regina
;
Otter, …
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
1
,
pp. 2-15
Persistent link: https://www.econbiz.de/10001891376
Saved in:
48
Business cycle asymmetries : characterization and testing based on Markov-Switching autoregressions
Clements, Michael P.
;
Krolzig, Hans-Martin
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
1
,
pp. 196-211
Persistent link: https://www.econbiz.de/10001728896
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49
Bayes estimates of Markov trends in possibly cointegrated series : an application to U.S. consumption and income
Paap, Richard
;
Dijk, Herman K. van
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
4
,
pp. 547-563
Persistent link: https://www.econbiz.de/10001807014
Saved in:
50
Regime switching in interest rates
Ang, Andrew
;
Bekaert, Geert
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 163-182
Persistent link: https://www.econbiz.de/10001660371
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