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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
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Root-T consistent density estimation in GARCH models
Delaigle, Aurore; Meister, Alexander; Rombouts, Jeroen V. K. - In: Journal of econometrics 192 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011610662
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Relevant parameter changes in structural break models
Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 217 (2020) 1, pp. 46-78
Persistent link: https://www.econbiz.de/10012482738
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Nonlinear financial econometrics JoE special issue introduction
Rombouts, Jeroen V. K.; Scaillet, Olivier; Veredas, David; … - In: Journal of econometrics 217 (2020) 2, pp. 203-206
Persistent link: https://www.econbiz.de/10012482746
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Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of econometrics 217 (2020) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
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Nonlinear Financial Econometrics
Rombouts, Jeroen V. K. (ed.); Scaillet, Olivier (ed.);  … - 2020
Persistent link: https://www.econbiz.de/10012482822
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
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Temporal agregation of multivariate GARCH processes
Hafner, Christian M. - In: Journal of econometrics 142 (2008) 1, pp. 467-483
Persistent link: https://www.econbiz.de/10003608211
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Estimation of a multiplicative correlation structure in the large dimensional case
Hafner, Christian M.; Linton, Oliver; Tang, Haihan - In: Journal of econometrics 217 (2020) 2, pp. 431-470
Persistent link: https://www.econbiz.de/10012482816