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Maximum likelihood estimation for score-driven models
Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
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A computationally efficient fixed point approach to dynamic structural demand estimation
Sun, Yutec; Ishihara, Masakazu - In: Journal of econometrics 208 (2019) 2, pp. 563-584
Persistent link: https://www.econbiz.de/10012149367
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Solving dynamic discrete choice models using smoothing and sieve methods
Kristensen, Dennis; Mogensen, Patrick Kofod; Moon, Jong Myun - In: Journal of econometrics 223 (2021) 2, pp. 328-360
Persistent link: https://www.econbiz.de/10012619974
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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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
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Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras; Li, Junye - In: Journal of econometrics 209 (2019) 1, pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
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Volatility estimation and jump detection for drift-diffusion processes
Laurent, Sébastien; Shi, Shuping - In: Journal of econometrics 217 (2020) 2, pp. 259-290
Persistent link: https://www.econbiz.de/10012482762
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Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
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Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark - In: Journal of econometrics 227 (2022) 2, pp. 498-505
Persistent link: https://www.econbiz.de/10013442175