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Accelerating score-driven time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of econometrics 212 (2019) 2, pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
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Heterogeneous panel data models with cross-sectional dependence
Gao, Jiti; Xia, Kai; Zhu, Huanjun - In: Journal of econometrics 219 (2020) 2, pp. 329-353
Persistent link: https://www.econbiz.de/10012483391
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Incentives, search engines, and the elicitation of subjective beliefs : evidence from representative online survey experiments
Grewenig, Elisabeth; Lergetporer, Philipp; Werner, Katharina - In: Journal of econometrics 231 (2022) 1, pp. 304-326
Persistent link: https://www.econbiz.de/10013441988
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K-state switching models with time-varying transition distributions : does loan growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - In: Journal of econometrics 187 (2015) 1, pp. 82-94
Persistent link: https://www.econbiz.de/10011498759
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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
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Nonparametric specification tests for stochastic volatility models based on volatility density
Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10011499459
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Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728