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Local-linear estimation of time-varying-parameter garch models and associated risk measures

Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234

Persistent link: https://www.econbiz.de/10012504329

Testing for distributional change in time series

Inoue, Atsushi - In: Econometric theory 17 (2001) 1, pp. 156-187

Persistent link: https://www.econbiz.de/10001556090

Short run and long run causality in time series : inference

Dufour, Jean-Marie (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001948010

Short run and long run causality in time series : inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of econometrics 132 (2006) 2, pp. 337-362

Persistent link: https://www.econbiz.de/10003348758

Evaluating value-at-risk models with desk-level data

Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009

Persistent link: https://www.econbiz.de/10003865687

Practical methods for modeling weak VARMA processes : identification, estimation and specification with a macroeconomic application

Dufour, Jean-Marie; Pelletier, Denis - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1140-1152

Persistent link: https://www.econbiz.de/10013539468

A stochastic price duration model for estimating high-frequency volatility

Pelletier, Denis; Wei, Wei - 2024

Persistent link: https://www.econbiz.de/10015338802

Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008

We propose a new information criterion for impulse response function matching estimators (IRFMEs) of the structural parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows researchers to select the impulse responses that...

Persistent link: https://www.econbiz.de/10010292348

In-sample or out-of-sample tests of predictability : which one should we use?

Inoue, Atsushi; Kilian, Lutz - 2002

Persistent link: https://www.econbiz.de/10001714862

In-sample or out-of-sample tests of predictability : which one should we use?

Inoue, Atsushi; Kilian, Lutz - In: Econometric reviews 23 (2004) 4, pp. 371-402

Persistent link: https://www.econbiz.de/10002514260