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Stochastic volatility and DSGE...
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Phillips, Peter C. B.
38
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22
Aït-Sahalia, Yacine
20
Ghysels, Eric
19
Todorov, Viktor
19
Koop, Gary
18
Pesaran, M. Hashem
18
Tauchen, George Eugene
18
Linton, Oliver
17
Taylor, Robert
17
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16
Lee, Lung-fei
16
Swanson, Norman R.
16
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15
Patton, Andrew J.
15
Yu, Jun
15
Andersen, Torben
14
Diebold, Francis X.
14
Granger, C. W. J.
14
Timmermann, Allan
14
Corradi, Valentina
13
Park, Joon Y.
13
Chib, Siddhartha
12
Hsiao, Cheng
12
Koopman, Siem Jan
12
Li, Qi
12
Mykland, Per A.
12
Schmidt, Peter
12
Dufour, Jean-Marie
11
Steel, Mark F. J.
11
Maasoumi, Esfandiar
10
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10
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10
Zakoïan, Jean-Michel
10
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9
Baltagi, Badi H.
9
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9
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9
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
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Chengdu International Econometrics Conference in Honor of Professor Cheng Hsiao's Contribution to Econometrics <2012, Chengdu>
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1
National Bureau of Economic Research
1
National Science Foundation
1
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1
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Journal of econometrics
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ECONIS (ZBW)
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1
Real-time forecast evaluation of DSGE models with stochastic
volatility
Diebold, Francis X.
;
Schorfheide, Frank
;
Shin, Minchul
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
Saved in:
2
Estimating dynamic equilibrium models with stochastic
volatility
Fernández-Villaverde, Jesús
;
Guerrón-Quintana, Pablo A.
- In:
Journal of econometrics
185
(
2015
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
Saved in:
3
Tailored randomized block MCMC methods with application to DSGE models
Chib, Siddhartha
;
Ramamurthy, Srikanth
- In:
Journal of econometrics
155
(
2010
)
1
,
pp. 19-38
Persistent link: https://www.econbiz.de/10003965375
Saved in:
4
Bayesian inference for nonlinear structural time series models
Hall, Jamie
;
Pitt, Michael K.
;
Kohn, Robert
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 99-111
Persistent link: https://www.econbiz.de/10010372659
Saved in:
5
Indirect inference and calibration of dynamic stochastic general equilibrium models
Dridi, Ramdan
;
Guay, Alain
;
Renault, Eric
- In:
Journal of econometrics
136
(
2007
)
2
,
pp. 397-430
Persistent link: https://www.econbiz.de/10003412637
Saved in:
6
Dynamic equilibrium and
volatility
in financial asset markets
Aït-Sahalia, Yacine
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
Saved in:
7
Pricing and hedging long-term options
Bakshi, Gurdip S.
;
Cao, Charles Q.
;
Chen, Zhiwu
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 277-318
Persistent link: https://www.econbiz.de/10001437760
Saved in:
8
The memory of stochastic
volatility
models
Robinson, Peter M.
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 195-218
Persistent link: https://www.econbiz.de/10001554894
Saved in:
9
The dynamics of stochastic
volatility
: evidence from underlying and options markets
Jones, Christopher S.
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 181-224
Persistent link: https://www.econbiz.de/10001772147
Saved in:
10
Kurtosis of GARCH and stochastic
volatility
models with non-normal innovations
Bai, Xuezheng
;
Russell, Jeffrey R.
;
Tiao, George C.
- In:
Journal of econometrics
114
(
2003
)
2
,
pp. 349-360
Persistent link: https://www.econbiz.de/10001750817
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