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Publication search results
found 47 matches
- 2014
- Peter Martey Addo
, Monica Billio
, Dominique Guégan:
The univariate MT-STAR model and a new linearity and unit root test procedure. Comput. Stat. Data Anal. 76: 4-19 (2014) - António Afonso
, Pedro Gomes
, Abderrahim Taamouti
:
Sovereign credit ratings, market volatility, and financial gains. Comput. Stat. Data Anal. 76: 20-33 (2014) - Gian Piero Aielli, Massimiliano Caporin
:
Variance clustering improved dynamic conditional correlation MGARCH estimators. Comput. Stat. Data Anal. 76: 556-576 (2014) - Philipp Andres:
Maximum likelihood estimates for positive valued dynamic score models; The DySco package. Comput. Stat. Data Anal. 76: 34-42 (2014) - Francesco Audrino:
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. Comput. Stat. Data Anal. 76: 43-60 (2014) - Maciej Augustyniak:
Maximum likelihood estimation of the Markov-switching GARCH model. Comput. Stat. Data Anal. 76: 61-75 (2014) - Stéphane Auray, Aurélien Eyquem, Frédéric Jouneau-Sion:
Modeling tails of aggregate economic processes in a stochastic growth model. Comput. Stat. Data Anal. 76: 76-94 (2014) - Oualid Bada, Alois Kneip:
Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. Comput. Stat. Data Anal. 76: 95-115 (2014) - Richard T. Baillie
, George Kapetanios, Fotis Papailias
:
Modified information criteria and selection of long memory time series models. Comput. Stat. Data Anal. 76: 116-131 (2014) - Christoph Bergmeir
, Mauro Costantini
, José Manuel Benítez
:
On the usefulness of cross-validation for directional forecast evaluation. Comput. Stat. Data Anal. 76: 132-143 (2014) - Charles S. Bos
, Siem Jan Koopman, Marius Ooms
:
Long memory with stochastic variance model: A recursive analysis for US inflation. Comput. Stat. Data Anal. 76: 144-157 (2014) - Giorgio Calzolari, Roxana Halbleib, Alessandro Parrini:
Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood. Comput. Stat. Data Anal. 76: 158-171 (2014) - Massimiliano Caporin
, Michael McAleer:
Robust ranking of multivariate GARCH models by problem dimension. Comput. Stat. Data Anal. 76: 172-185 (2014) - Joshua C. C. Chan, Gary Koop
:
Modelling breaks and clusters in the steady states of macroeconomic variables. Comput. Stat. Data Anal. 76: 186-193 (2014) - Cathy W. S. Chen
, Richard Gerlach
, Edward M. H. Lin
:
Bayesian estimation of smoothly mixing time-varying parameter GARCH models. Comput. Stat. Data Anal. 76: 194-209 (2014) - Stéphane Chrétien, Juan-Pablo Ortega
:
Multivariate GARCH estimation via a Bregman-proximal trust-region method. Comput. Stat. Data Anal. 76: 210-236 (2014) - Ignacio Díaz-Emparanza
:
Numerical distribution functions for seasonal unit root tests. Comput. Stat. Data Anal. 76: 237-247 (2014) - Zaichao Du:
Testing for serial independence of panel errors. Comput. Stat. Data Anal. 76: 248-261 (2014) - Pedro Galeano
, Dominik Wied
:
Multiple break detection in the correlation structure of random variables. Comput. Stat. Data Anal. 76: 262-282 (2014) - Marco Gallegati
, James B. Ramsey, Willi Semmler:
Interest rate spreads and output: A time scale decomposition analysis using wavelets. Comput. Stat. Data Anal. 76: 283-290 (2014) - Kilani Ghoudi
, Bruno N. Rémillard
:
Comparison of specification tests for GARCH models. Comput. Stat. Data Anal. 76: 291-300 (2014) - Stefano Grassi, Paolo Santucci de Magistris
:
When long memory meets the Kalman filter: A comparative study. Comput. Stat. Data Anal. 76: 301-319 (2014) - Andrew Harvey, Genaro Sucarrat:
EGARCH models with fat tails, skewness and leverage. Comput. Stat. Data Anal. 76: 320-338 (2014) - Eunju Hwang, Dong Wan Shin:
Infinite-order, long-memory heterogeneous autoregressive models. Comput. Stat. Data Anal. 76: 339-358 (2014) - Stefan Jäschke:
Estimation of risk measures in energy portfolios using modern copula techniques. Comput. Stat. Data Anal. 76: 359-376 (2014) - Yiannis Karavias
, Elias Tzavalis:
Testing for unit roots in short panels allowing for a structural break. Comput. Stat. Data Anal. 76: 391-407 (2014) - Gregor Kastner
, Sylvia Frühwirth-Schnatter
:
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. Comput. Stat. Data Anal. 76: 408-423 (2014) - Jan F. Kiviet
, Garry D. A. Phillips:
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models. Comput. Stat. Data Anal. 76: 424-448 (2014) - Tore Selland Kleppe, Roman Liesenfeld
:
Efficient importance sampling in mixture frameworks. Comput. Stat. Data Anal. 76: 449-463 (2014) - Erricos John Kontoghiorghes
, Herman K. van Dijk
, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran
, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola
, Monica Billio
, Cathy W. S. Chen
, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq
, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon
, Stefan Mittnik, Yasuhiro Omori
, D. S. G. Pollock, Tommaso Proietti
, Jeroen V. K. Rombouts, Olivier Scaillet
, Willi Semmler, Mike K. P. So
, Mark F. J. Steel, Robert Taylor
, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu:
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76: 1-3 (2014)
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