REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 774, doi. 10.1002/jae.2389
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- Publication type:
- Article
Works matching IS 08837252 AND DT 2014 AND VI 29 AND IP 5
Results: 8
1
2
A MOMENT-MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE-STATE MARKOV CHAINS.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 843, doi. 10.1002/jae.2354
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- Publication type:
- Article
3
MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 825, doi. 10.1002/jae.2337
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- Publication type:
- Article
4
THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINEAR TRIANGULAR SYSTEMS, WITH APPLICATIONS TO ASSET PRICING MODELS THAT INCLUDE A MISMEASURED FACTOR.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 800, doi. 10.1002/jae.2340
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- Publication type:
- Article
5
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 758, doi. 10.1002/jae.2336
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- Publication type:
- Article
6
CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 736, doi. 10.1002/jae.2352
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- Publication type:
- Article
7
FORECASTING DISCONNECTED EXCHANGE RATES.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 713, doi. 10.1002/jae.2350
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- Publication type:
- Article
8
FORECASTING INTEREST RATES WITH SHIFTING ENDPOINTS.
- Published in:
- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 693, doi. 10.1002/jae.2358
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- Publication type:
- Article