-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

states and model variables, which is sparse and banded in many economic applications and allows for efficient sampling. The … existing literature on precision-based sampling is focused on complete-data applications, whereas the proposed samplers in this … easily integrated into Bayesian estimation procedures like the Gibbs sampler. By allowing for incomplete data sets, the …