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Through the looking glass: Indirect inference via simple equilibria

Calvet, Laurent E.; Czellar, Veronika - In: Journal of Econometrics 185 (2015) 2, pp. 343-358

model with investor learning. …

Persistent link: https://www.econbiz.de/10011190714

Analysis of high dimensional multivariate stochastic volatility models

Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2006

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...

Persistent link: https://www.econbiz.de/10009441545

Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox

Nonejad, Nima - In: Journal of time series econometrics 8 (2016) 1, pp. 55-90

Persistent link: https://www.econbiz.de/10011440481

Bayesian nonparametric dynamic methods : applications to linear and nonlinear advertising models

Bruce, Norris I. - In: Journal of marketing research 56 (2019) 2, pp. 211-229

Persistent link: https://www.econbiz.de/10012177302

Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment

Berger, Theo; Gençay, Ramazan - In: Journal of economic dynamics & control 92 (2018), pp. 30-46

Persistent link: https://www.econbiz.de/10011974231

Hidden Markov model for municipal waste generation forecasting under uncertainties

Jiang, P.; Liu, X. - In: European journal of operational research : EJOR 250 (2016) 2, pp. 639-651

Persistent link: https://www.econbiz.de/10011441731

Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models

Cavicchioli, Maddalena - In: Computational economics 55 (2020) 1, pp. 61-86

Persistent link: https://www.econbiz.de/10012222592

Convergence of finite memory Q learning for POMDPs and near optimality of learned policies under filter stability

Kara, Ali Devran; Yüksel, Serdar - In: Mathematics of operations research 48 (2023) 4, pp. 2066-2093

Persistent link: https://www.econbiz.de/10014437816

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Forecast evaluation of DSGE models : linear and nonlinear likelihood

Chin, Kuo-Hsuan - In: Journal of forecasting 41 (2022) 6, pp. 1099-1130

Persistent link: https://www.econbiz.de/10013465683

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