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Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo - In: Journal of financial econometrics 19 (2021) 4, pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
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A stochastic volatility model with a general leverage specification
Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
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Point forecasts of the price of crude oil : an attempt to "beat" the end-of-month random-walk benchmark
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 67 (2024) 4, pp. 1497-1539
Persistent link: https://www.econbiz.de/10015141979
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Particle Markov chain Monte Carlo Techniques of unobserved component time series models using Ox
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782694
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Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782698
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Time-consistency problem and the behavior of US inflation from 1970 to 2008
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782705
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A mixture innovation heterogeneous autoregressive model for structural breaks and long memory
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782709
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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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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
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Forecasting aggregate stock market volatility using financial and macroeconomic predictors : Which models forecast best, when and why?
Nonejad, Nima - In: Journal of empirical finance 42 (2017), pp. 131-154
Persistent link: https://www.econbiz.de/10011808557