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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil G. - In: Journal of econometrics 108 (2002) 2, pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
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Testing the nominal-to-real transformation
Kongsted, Hans Christian - In: Journal of econometrics 124 (2005) 2, pp. 205-225
Persistent link: https://www.econbiz.de/10002515533
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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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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
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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Distribution-free tests of stochastic monotonicity
Delgado, Miguel A.; Escanciano, Juan Carlos - In: Journal of econometrics 170 (2012) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10009673150
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140
Persistent link: https://www.econbiz.de/10010433402
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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-305
Persistent link: https://www.econbiz.de/10003354577