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Computational Statistics & Data Analysis, Volume 76
Volume 76, August 2014
- Erricos John Kontoghiorghes
, Herman K. van Dijk
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. 1-3
- Peter Martey Addo
The univariate MT-STAR model and a new linearity and unit root test procedure. 4-19 - António Afonso
Sovereign credit ratings, market volatility, and financial gains. 20-33 - Philipp Andres:
Maximum likelihood estimates for positive valued dynamic score models; The DySco package. 34-42 - Francesco Audrino:
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. 43-60 - Maciej Augustyniak:
Maximum likelihood estimation of the Markov-switching GARCH model. 61-75 - Stéphane Auray, Aurélien Eyquem, Frédéric Jouneau-Sion:
Modeling tails of aggregate economic processes in a stochastic growth model. 76-94 - Oualid Bada, Alois Kneip:
Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. 95-115 - Richard T. Baillie
Modified information criteria and selection of long memory time series models. 116-131 - Christoph Bergmeir
On the usefulness of cross-validation for directional forecast evaluation. 132-143 - Charles S. Bos
Long memory with stochastic variance model: A recursive analysis for US inflation. 144-157 - Giorgio Calzolari, Roxana Halbleib, Alessandro Parrini:
Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood. 158-171 - Massimiliano Caporin
Robust ranking of multivariate GARCH models by problem dimension. 172-185 - Joshua C. C. Chan, Gary Koop
Modelling breaks and clusters in the steady states of macroeconomic variables. 186-193 - Cathy W. S. Chen
Bayesian estimation of smoothly mixing time-varying parameter GARCH models. 194-209 - Stéphane Chrétien, Juan-Pablo Ortega
Multivariate GARCH estimation via a Bregman-proximal trust-region method. 210-236 - Ignacio Díaz-Emparanza
Numerical distribution functions for seasonal unit root tests. 237-247 - Zaichao Du
Testing for serial independence of panel errors. 248-261 - Pedro Galeano
Multiple break detection in the correlation structure of random variables. 262-282 - Marco Gallegati
Interest rate spreads and output: A time scale decomposition analysis using wavelets. 283-290 - Kilani Ghoudi
Comparison of specification tests for GARCH models. 291-300 - Stefano Grassi, Paolo Santucci de Magistris
When long memory meets the Kalman filter: A comparative study. 301-319 - Andrew Harvey, Genaro Sucarrat:
EGARCH models with fat tails, skewness and leverage. 320-338 - Eunju Hwang, Dong Wan Shin:
Infinite-order, long-memory heterogeneous autoregressive models. 339-358 - Stefan Jäschke:
Estimation of risk measures in energy portfolios using modern copula techniques. 359-376 - Deniz Dilan Karaman Örsal
Panel cointegration testing in the presence of a time trend. 377-390 - Yiannis Karavias
Testing for unit roots in short panels allowing for a structural break. 391-407 - Gregor Kastner
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. 408-423 - Jan F. Kiviet
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models. 424-448 - Tore Selland Kleppe, Roman Liesenfeld
Efficient importance sampling in mixture frameworks. 449-463 - Rachidi Kotchoni
The indirect continuous-GMM estimation. 464-488 - Rolf Larsson:
A likelihood ratio type test for invertibility in moving average processes. 489-501 - Luís F. Martins
Testing for persistence change in fractionally integrated models: An application to world inflation rates. 502-522 - Aleksey Min
SCOMDY models based on pair-copula constructions with application to exchange rates. 523-535 - Henri Nyberg, Pentti Saikkonen:
Forecasting with a noncausal VAR model. 536-555 - Gian Piero Aielli, Massimiliano Caporin
Variance clustering improved dynamic conditional correlation MGARCH estimators. 556-576 - Jean-Yves Pitarakis
A joint test for structural stability and a unit root in autoregressions. 577-587 - Jeroen V. K. Rombouts, Lars Stentoft
Bayesian option pricing using mixed normal heteroskedasticity models. 588-605 - André Alves Portela Santos
Dynamic factor multivariate GARCH model. 606-617 - Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori
Realized stochastic volatility with leverage and long memory. 618-641 - Hans J. Skaug, Jun Yu
A flexible and automated likelihood based framework for inference in stochastic volatility models. 642-654 - Mike K. P. So
Vine-copula GARCH model with dynamic conditional dependence. 655-671 - Jakob Stöber, Claudia Czado
Regime switches in the dependence structure of multidimensional financial data. 672-686 - J. H. Venter, P. J. de Jongh:
Extended stochastic volatility models incorporating realised measures. 687-707 - Fangfang Wang
Optimal design of Fourier estimator in the presence of microstructure noise. 708-722 - Dominik Wied
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution. 723-736 - Yu-Min Yen, Tso-Jung Yen:
Solving norm constrained portfolio optimization via coordinate-wise descent algorithms. 737-759
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