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Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - 2000

Persistent link: https://www.econbiz.de/10001487318

Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 183-197

Persistent link: https://www.econbiz.de/10001660372

Asymmetry in stochastic volatility models : threshold or correlation?

Smith, Daniel R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009513579

Testing for structural breaks in GARCH models

Smith, Daniel R. - In: Applied financial economics 18 (2008) 10/12, pp. 845-862

Persistent link: https://www.econbiz.de/10003739446

Duration dependence in the US business cycle

Layton, Allan P.; Smith, Daniel R. - 2003

Persistent link: https://www.econbiz.de/10001812712

Testing the power of leading indicators to predict business cycle phase changes

Layton, Allan P.; Smith, Daniel R. - 2005

Persistent link: https://www.econbiz.de/10003114228

Comparing different explanations of the volatility trend

Rubin, Amir; Smith, Daniel R. - In: Journal of banking & finance 35 (2011) 6, pp. 1581-1597

Persistent link: https://www.econbiz.de/10009244937

Comparing different explanations of the volatility trend

Rubin, Amir; Smith, Daniel R. - 2010

Persistent link: https://www.econbiz.de/10008798842

Identification of Equilibrium Models of Local Jurisdictions

Sieg, Holger; Epple, Dennis - Econometric Society - 2004

Research over the past several years has led to development of models characterizing equilibrium in a system of local jurisdictions. More recently, there have been a number of studies which have tried to estimate these models. The evidence suggests that simple parametric models can explain the...

Persistent link: https://www.econbiz.de/10005699684