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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
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Wavelet energy ratio unit root tests
Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10012180698
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter
Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130
Persistent link: https://www.econbiz.de/10012181397
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A state-space approach to time-varying reduced-rank regression
Brune, Barbara; Scherrer, Wolfgang; Bura, Efstathia - In: Econometric reviews 41 (2022) 8, pp. 895-917
Persistent link: https://www.econbiz.de/10013364916
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Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan; Miller, J. Isaac; Yigit, Taner M. - In: Econometric reviews 41 (2022) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10013167573
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Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334
Persistent link: https://www.econbiz.de/10015196603
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814
Persistent link: https://www.econbiz.de/10010363876