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Tests for serial correlation of unknown form in dynamic least squares regression with wavelets

Li, Meiyu; Gençay, Ramazan - In: Economics letters 155 (2017), pp. 104-110

Persistent link: https://www.econbiz.de/10011821626

Sequential Monte Carlo sampling for state space models

Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.

Persistent link: https://www.econbiz.de/10011800920

Testing for random coefficient autoregressive and stochastic unit root models

Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10014288865

Multifrequency-band tests for white noise under heteroscedasticity

Liu, Mengya; Zhu, Fukang; Zhu, Ke - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 799-814

Persistent link: https://www.econbiz.de/10013534533

A joint model for the term structure of interest rates and realized volatility

Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227

Persistent link: https://www.econbiz.de/10014391449

Regression analysis of marketing time series : a wavelet approach with some frequency domain insights

Michis, Antonis A. - In: Review of marketing science 7 (2009) 2, pp. 1-41

Persistent link: https://www.econbiz.de/10003888814

Regression with autocorrelated errors using design-adapted haar wavelets

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C. Q. - In: Journal of time series econometrics 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009623492

Wavelet estimation of copulas for time series

Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10009623563

Multivariate stochastic volatility estimation with sparse grid integration

Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81

Persistent link: https://www.econbiz.de/10011543122

Wavelet estimation of Gegenbauer processes : simulation and empirical application

Boubaker, Heni - In: Computational economics 46 (2015) 4, pp. 551-574

Persistent link: https://www.econbiz.de/10011478889