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Bayesian inference on GARCH models using the Gibbs sampler
Bauwens, Luc; Lubrano, Michel - In: The econometrics journal 1 (1998) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001443667
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A full-factor multivariate GARCH model
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: The econometrics journal 6 (2003) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10001831255
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Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with student-t innovations
Ardia, David - In: The econometrics journal 12 (2009) 1, pp. 105-126
Persistent link: https://www.econbiz.de/10003841976
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Theory and inference for a Markov switching GARCH model
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K. - In: The econometrics journal 13 (2010) 2, pp. 218-244
Persistent link: https://www.econbiz.de/10003978517
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Modelling volatility asymmetries : a Bayesian analysis of a class of tree structured multivariate GARCH models
Dellaportas, P.; Vrontos, I. D. - In: The econometrics journal 10 (2007) 3, pp. 503-520
Persistent link: https://www.econbiz.de/10003637597
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Volatility spillovers across financial markets : the role of oil price uncertainty
Lee, Seojin; Kim, Young Min - In: Applied economics letters 30 (2023) 17, pp. 2342-2347
Persistent link: https://www.econbiz.de/10014365776
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How to predict the economic growth rates of a country? : a DSGE model with the accumulation of human capital
Mu, Junlin; Yan, Lipeng - In: Applied economics letters 30 (2023) 11, pp. 1540-1560
Persistent link: https://www.econbiz.de/10014304416
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Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10011430513
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Nonparametric bootstrap tests for independence of generalized errors
Du, Zaichao - In: The econometrics journal 19 (2016) 1, pp. 55-83
Persistent link: https://www.econbiz.de/10011487609
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Discontinuities in the coal market
Wilmot, Neil A. - In: Applied economics letters 23 (2016) 10/12, pp. 790-794
Persistent link: https://www.econbiz.de/10011628568