Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student- t innovations.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 105, doi. 10.1111/j.1368-423X.2008.00253.x
- By:
- Publication type:
- Article
Works matching IS 13684221 AND DT 2009 AND VI 12 AND IP 1
Results: 9
1
2
Determining the number of factors in a multivariate error correction–volatility factor model.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 45, doi. 10.1111/j.1368-423X.2008.00259.x
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- Publication type:
- Article
3
On the impact of error cross-sectional dependence in short dynamic panel estimation.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 62, doi. 10.1111/j.1368-423X.2008.00260.x
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- Publication type:
- Article
4
Testing for volatility interactions in the Constant Conditional Correlation GARCH model.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 147, doi. 10.1111/j.1368-423X.2008.00261.x
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- Publication type:
- Article
5
Assessing the magnitude of the concentration parameter in a simultaneous equations model.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 26, doi. 10.1111/j.1368-423X.2008.00268.x
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- Publication type:
- Article
6
Identification and estimation of local average derivatives in non-separable models without monotonicity.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 1, doi. 10.1111/j.1368-423X.2008.00273.x
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- Publication type:
- Article
7
EM algorithms for ordered probit models with endogenous regressors.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 164, doi. 10.1111/j.1368-423X.2008.00272.x
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- Publication type:
- Article
8
Causality and forecasting in temporally aggregated multivariate GARCH processes.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 127, doi. 10.1111/j.1368-423X.2008.00276.x
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- Publication type:
- Article
9
Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model.
- Published in:
- Econometrics Journal, 2009, v. 12, n. 1, p. 82, doi. 10.1111/j.1368-423X.2008.00277.x
- By:
- Publication type:
- Article