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Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
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VARs, common factors and the empirical validation of equilibrium business cycle models
Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - In: Journal of econometrics 132 (2006) 1, pp. 257-279
Persistent link: https://www.econbiz.de/10003320265
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Methods for measuring expectations and uncertainty in Markov-switching models
Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99
Persistent link: https://www.econbiz.de/10011591621
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A characterization of vector autoregressive processes with common cyclical features
Franchi, Massimo; Paruolo, Paolo - In: Journal of econometrics 163 (2011) 1, pp. 105-117
Persistent link: https://www.econbiz.de/10009270438
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Large shocks vs. small shocks : (or does size matter? May be so.)
Gonzalo, Jesús; Martínez, Oscar - In: Journal of econometrics 135 (2006) 1/2, pp. 311-347
Persistent link: https://www.econbiz.de/10003376086
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
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Volume, volatility, and leverage : a dynamic analysis
Tauchen, George Eugene; Zhang, Harold; Liu, Ming - In: Journal of econometrics 74 (1996) 1, pp. 177-208
Persistent link: https://www.econbiz.de/10001755397
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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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Variable selection in panel models with breaks
Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10012303949
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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760