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Time series analysis
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Urga, Giovanni
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International journal of forecasting
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Journal of economic dynamics & control
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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NBER working paper series
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International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of time series econometrics
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ECONIS (ZBW)
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1
A Markov switching unobserved component analysis of the CDX index term premium
Calice, Giovanni
;
Ioannidis, Christos
;
Miao, Rong Hui
- In:
International review of financial analysis
44
(
2016
),
pp. 189-204
Persistent link: https://www.econbiz.de/10011623992
Saved in:
2
Regime-switching univariate diffusion models of the short-term interest rate
Choi, Seungmoon
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009513595
Saved in:
3
Priors and Bayesian parameter
estimation
of affine term structure models
Sögner, Leopold
- In:
International journal of computational economics and …
4
(
2014
)
3/4
,
pp. 288-319
Persistent link: https://www.econbiz.de/10010496421
Saved in:
4
Credit spread modeling : macro-financial versus HOC approach
Dudaković, Sanja
- In:
Economic analysis : EA
47
(
2014
)
3/4
,
pp. 53-68
Persistent link: https://www.econbiz.de/10010506024
Saved in:
5
Approximating risk premium on a parametric arbitrage-free term structure model
Almeida, Caio
;
Ardison, Kym
;
Kubudi, Daniela
- In:
Brazilian review of econometrics : BRE ; the review of …
34
(
2014
)
2
,
pp. 203-246
Persistent link: https://www.econbiz.de/10011538792
Saved in:
6
Global bond risk premia under falling stars
Zhang, Yugui
;
Zhu, Jie
;
Zhu, Xiaoneng
- In:
Finance research letters
42
(
2021
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014580460
Saved in:
7
Three essays in the term structure of interest rates
Yi, Chun Won
-
2003
Persistent link: https://www.econbiz.de/10003778929
Saved in:
8
Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
9
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin
;
Karbach, Sven
- In:
Finance and stochastics
28
(
2024
)
4
,
pp. 1077-1116
Persistent link: https://www.econbiz.de/10015130554
Saved in:
10
Testing the persistence of the forward premium : structural changes or misspecification?
Ho, Tsung-wu
;
Moh, Wan Shin
- In:
Open economies review
27
(
2016
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10011591715
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