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Rare shocks, great recessions
Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - In: Journal of applied econometrics 29 (2014) 7, pp. 1031-1052
Persistent link: https://www.econbiz.de/10010492715
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Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - In: Journal of applied econometrics 37 (2022) 7, pp. 1356-1378
Persistent link: https://www.econbiz.de/10013473983
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Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture
Wu, Frank C. Z. - In: Journal of applied econometrics 39 (2024) 4, pp. 697-704
Persistent link: https://www.econbiz.de/10014562850
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Modelling inflation volatility
Eisenstat, Eric; Strachan, Rodney W. - In: Journal of applied econometrics 31 (2016) 5, pp. 805-820
Persistent link: https://www.econbiz.de/10011645234
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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121
Persistent link: https://www.econbiz.de/10001387229
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Stochastic volatility models : conditional normality versus heavy-tailed distributions
Liesenfeld, Roman; Jung, Robert - In: Journal of applied econometrics 15 (2000) 2, pp. 137-160
Persistent link: https://www.econbiz.de/10001474643
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Forecasting large datasets with Bayesian reduced rank multivariate models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of applied econometrics 26 (2011) 5, pp. 735-761
Persistent link: https://www.econbiz.de/10009408921
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The global component of inflation volatility
Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721
Persistent link: https://www.econbiz.de/10013332682
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Identification and forecasting of bull and bear markets using multivariate returns
Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745
Persistent link: https://www.econbiz.de/10015156772