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Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms
Chen, Heng; Fan, Yanqin - In: Journal of econometrics 212 (2019) 2, pp. 476-502
Persistent link: https://www.econbiz.de/10012304074
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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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Moving average stochastic volatility models with application to inflation forecast
Chan, Joshua C. C. - In: Journal of econometrics 176 (2013) 2, pp. 162-172
Persistent link: https://www.econbiz.de/10009786503
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Estimators of long-memory : fourier versus wavelets
Fay͏̈, Gilles; Moulines, Eric; Roueff, François; … - In: Journal of econometrics 151 (2009) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10003877962
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Bayesian estimation of state space models using moment conditions
Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211
Persistent link: https://www.econbiz.de/10011918691
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Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
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A simple nonparametric approach to estimating the distribution of random coefficients in structural models
Fox, Jeremy T.; Kim, Kyoo Il; Yang, Chenyu - In: Journal of econometrics 195 (2016) 2, pp. 236-254
Persistent link: https://www.econbiz.de/10011705259
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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