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Testable implications of affine term structure models
Hamilton, James D.; Wu, Jing Cynthia - In: Journal of econometrics 178 (2014) 1, pp. 231-242
Persistent link: https://www.econbiz.de/10010256167
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - In: Journal of econometrics 185 (2015) 1, pp. 60-81
Persistent link: https://www.econbiz.de/10011339903
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Identification and estimation of Gaussian affine term structure models
Hamilton, James D.; Wu, Jing Cynthia - In: Journal of econometrics 168 (2012) 2, pp. 315-331
Persistent link: https://www.econbiz.de/10009612732
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Bayesian model averaging and exchange rate forecasts
Wright, Jonathan H. - In: Journal of econometrics 146 (2008) 2, pp. 329-341
Persistent link: https://www.econbiz.de/10003782994
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Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
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Analyzing cross-validation for forecasting with structural instability
Hirano, Keisuke; Wright, Jonathan H. - In: Journal of econometrics 226 (2022) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10013440526
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Refining set-identification in VARs through independence
Drautzburg, Thorsten; Wright, Jonathan H. - In: Journal of econometrics 235 (2023) 2, pp. 1827-1847
Persistent link: https://www.econbiz.de/10014471432
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When will Arctic sea ice disappear? : projections of area, extent, thickness, and volume
Diebold, Francis X.; Rudebusch, Glenn D.; Göbel, Maximilian - In: Journal of econometrics 236 (2023) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10014365487
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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - In: Journal of econometrics 164 (2011) 1, pp. 4-20
Persistent link: https://www.econbiz.de/10009270418
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Term structure analysis with big data : one-step estimation using bond prices
Andreasen, Martin Møller; Christensen, Jens H. E.; … - In: Journal of econometrics 212 (2019) 1, pp. 26-46
Persistent link: https://www.econbiz.de/10012303862