Narrow search
Showing 1 - 10 of 2,094
Cover Image
l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
Cover Image
Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho - In: The econometrics journal 17 (2014) 1, pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
Cover Image
Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox
Nonejad, Nima - In: Journal of time series econometrics 8 (2016) 1, pp. 55-90
Persistent link: https://www.econbiz.de/10011440481
Cover Image
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012196752
Cover Image
Mortality forecasting using a Lexis-based state-space model
Andersson, Patrik; Lindholm, Mathias - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 519-548
Persistent link: https://www.econbiz.de/10012656701
Cover Image
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012203994
Cover Image
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2020 - This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
Cover Image
Using VARs and TVP-VARs with many macroeconomic variables
Koop, Gary - 2013
Persistent link: https://www.econbiz.de/10009735892
Cover Image
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
Cover Image
The accuracy of linear and nonlinear estimation in the presence of the zero lower bound
Atkinson, Tyler; Richter, Alexander W.; Throckmorton, … - 2018
Persistent link: https://www.econbiz.de/10011880508