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Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of econometrics 177 (2013) 2, pp. 213-232
Persistent link: https://www.econbiz.de/10010254875
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198
Persistent link: https://www.econbiz.de/10010254877
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A computationally efficient method for vector autoregression with mixed frequency data
Qian, Hang - In: Journal of econometrics 193 (2016) 2, pp. 433-437
Persistent link: https://www.econbiz.de/10011704991
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng; Koopman, Siem Jan; Lit, Rutger; Petrova, … - In: Journal of econometrics 214 (2020) 1, pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
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Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P.; … - In: Journal of econometrics 193 (2016) 2, pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
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Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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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
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The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
Oh, Kum Hwa; Zivot, Eric; Creal, Drew - In: Journal of econometrics 146 (2008) 2, pp. 207-219
Persistent link: https://www.econbiz.de/10003782911