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Publication search results
found 51 matches
- 2016
- Abdelkamel Alj, Kristján Jónasson, Guy Mélard
:
The exact Gaussian likelihood estimation of time-dependent VARMA models. Comput. Stat. Data Anal. 100: 633-644 (2016) - Josu Arteche
, Jesus Orbe
:
A bootstrap approximation for the distribution of the Local Whittle estimator. Comput. Stat. Data Anal. 100: 645-660 (2016) - Natalia Bailey
, Liudas Giraitis:
Spectral approach to parameter-free unit root testing. Comput. Stat. Data Anal. 100: 4-16 (2016) - Luc Bauwens, Lyudmila Grigoryeva
, Juan-Pablo Ortega
:
Estimation and empirical performance of non-scalar dynamic conditional correlation models. Comput. Stat. Data Anal. 100: 17-36 (2016) - Luc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori
:
Special issue on Bayesian econometrics. Comput. Stat. Data Anal. 100: 794 (2016) - Monica Billio
, Roberto Casarin
, Anthony Osuntuyi:
Efficient Gibbs sampling for Markov switching GARCH models. Comput. Stat. Data Anal. 100: 37-57 (2016) - Luisa Bisaglia, Antonio Canale
:
Bayesian nonparametric forecasting for INAR models. Comput. Stat. Data Anal. 100: 70-78 (2016) - Francisco Blasques, Jiangyu Ji, André Lucas
:
Semiparametric score driven volatility models. Comput. Stat. Data Anal. 100: 58-69 (2016) - H. Peter Boswijk, Christian Francq
, Marc Hallin, Robert Taylor
:
Special issue on Time Series Econometrics. Comput. Stat. Data Anal. 100: 631-632 (2016) - João Frois Caldeira
, Guilherme V. Moura
, André Alves Portela Santos
:
Predicting the yield curve using forecast combinations. Comput. Stat. Data Anal. 100: 79-98 (2016) - Joshua C. C. Chan
, Angelia L. Grant:
Fast computation of the deviance information criterion for latent variable models. Comput. Stat. Data Anal. 100: 847-859 (2016) - Michael P. Clements:
Real-time factor model forecasting and the effects of instability. Comput. Stat. Data Anal. 100: 661-675 (2016) - Michael Creel
, Dennis Kristensen
:
On selection of statistics for approximate Bayesian computing (or the method of simulated moments). Comput. Stat. Data Anal. 100: 99-114 (2016) - G. S. Dissanayake, M. Shelton Peiris, Tommaso Proietti
:
State space modeling of Gegenbauer processes with long memory. Comput. Stat. Data Anal. 100: 115-130 (2016) - Matthias R. Fengler, Ostap Okhrin:
Managing risk with a realized copula parameter. Comput. Stat. Data Anal. 100: 131-152 (2016) - Gabriele Fiorentini, Christophe Planas, Alessandro Rossi:
Skewness and kurtosis of multivariate Markov-switching processes. Comput. Stat. Data Anal. 100: 153-159 (2016) - Philip Hans Franses:
A simple test for a bubble based on growth and acceleration. Comput. Stat. Data Anal. 100: 160-169 (2016) - Diego E. Fresoli, Esther Ruiz
:
The uncertainty of conditional returns, volatilities and correlations in DCC models. Comput. Stat. Data Anal. 100: 170-185 (2016) - Noud P. A. van Giersbergen:
The ability to correct the bias in the stable AD(1, 1) model with a feedback effect. Comput. Stat. Data Anal. 100: 186-204 (2016) - Emanuele Giorgi
, Alexander J. McNeil
:
On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families. Comput. Stat. Data Anal. 100: 205-220 (2016) - Jan J. J. Groen, George Kapetanios:
Revisiting useful approaches to data-rich macroeconomic forecasting. Comput. Stat. Data Anal. 100: 221-239 (2016) - Kazuhiko Hayakawa
:
Improved GMM estimation of panel VAR models. Comput. Stat. Data Anal. 100: 240-264 (2016) - Kazuhiko Hayakawa
, Shuichi Nagata:
On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions. Comput. Stat. Data Anal. 100: 265-303 (2016) - Radek Hendrych
, Tomás Cipra
:
On conditional covariance modelling: An approach using state space models. Comput. Stat. Data Anal. 100: 304-317 (2016) - Hajo Holzmann, Florian Schwaiger:
Testing for the number of states in hidden Markov models. Comput. Stat. Data Anal. 100: 318-330 (2016) - Lajos Horváth, Gregory Rice, Stephen Whipple:
Adaptive bandwidth selection in the long run covariance estimator of functional time series. Comput. Stat. Data Anal. 100: 676-693 (2016) - Tsunehiro Ishihara
, Yasuhiro Omori
, Manabu Asai
:
Matrix exponential stochastic volatility with cross leverage. Comput. Stat. Data Anal. 100: 331-350 (2016) - Eric Jondeau
:
Asymmetry in tail dependence in equity portfolios. Comput. Stat. Data Anal. 100: 351-368 (2016) - George Kapetanios, Massimiliano Marcellino
, Fotis Papailias
:
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods. Comput. Stat. Data Anal. 100: 369-382 (2016) - Erricos John Kontoghiorghes
, Herman K. van Dijk
:
CFEnetwork: The annals of computational and financial econometrics, 3rd issue. Comput. Stat. Data Anal. 100: 1-3 (2016)
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