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Computational Statistics & Data Analysis, Volume 100
Volume 100, August 2016
- Erricos John Kontoghiorghes
, Herman K. van Dijk
CFEnetwork: The annals of computational and financial econometrics, 3rd issue. 1-3
- Natalia Bailey
Spectral approach to parameter-free unit root testing. 4-16 - Luc Bauwens, Lyudmila Grigoryeva
Estimation and empirical performance of non-scalar dynamic conditional correlation models. 17-36 - Monica Billio
Efficient Gibbs sampling for Markov switching GARCH models. 37-57 - Francisco Blasques, Jiangyu Ji, André Lucas
Semiparametric score driven volatility models. 58-69 - Luisa Bisaglia, Antonio Canale
Bayesian nonparametric forecasting for INAR models. 70-78 - João Frois Caldeira
Predicting the yield curve using forecast combinations. 79-98 - Michael Creel
On selection of statistics for approximate Bayesian computing (or the method of simulated moments). 99-114 - G. S. Dissanayake, M. Shelton Peiris, Tommaso Proietti
State space modeling of Gegenbauer processes with long memory. 115-130 - Matthias R. Fengler
Managing risk with a realized copula parameter. 131-152 - Gabriele Fiorentini, Christophe Planas, Alessandro Rossi:
Skewness and kurtosis of multivariate Markov-switching processes. 153-159 - Philip Hans Franses
A simple test for a bubble based on growth and acceleration. 160-169 - Diego E. Fresoli, Esther Ruiz
The uncertainty of conditional returns, volatilities and correlations in DCC models. 170-185 - Noud P. A. van Giersbergen:
The ability to correct the bias in the stable AD(1, 1) model with a feedback effect. 186-204 - Emanuele Giorgi
On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families. 205-220 - Jan J. J. Groen, George Kapetanios:
Revisiting useful approaches to data-rich macroeconomic forecasting. 221-239 - Kazuhiko Hayakawa
Improved GMM estimation of panel VAR models. 240-264 - Kazuhiko Hayakawa
On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions. 265-303 - Radek Hendrych
On conditional covariance modelling: An approach using state space models. 304-317 - Hajo Holzmann, Florian Schwaiger:
Testing for the number of states in hidden Markov models. 318-330 - Tsunehiro Ishihara
Matrix exponential stochastic volatility with cross leverage. 331-350 - Eric Jondeau
Asymmetry in tail dependence in equity portfolios. 351-368 - George Kapetanios, Massimiliano Marcellino
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods. 369-382 - Sébastien Laurent, Christelle Lecourt, Franz C. Palm
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach. 383-400 - Rui Li, Alan T. K. Wan, Jinhong You:
Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects. 401-423 - Degui Li
Generalized nonparametric smoothing with mixed discrete and continuous data. 424-444 - Cédric Okou, Eric Jacquier:
Horizon effect in the term structure of long-run risk-return trade-offs. 445-466 - Li Pan, Dimitris N. Politis:
Bootstrap prediction intervals for Markov processes. 467-494 - Ekaterini Panopoulou
The Fisher effect in the presence of time-varying coefficients. 495-511 - Winfried Pohlmeier, Ruben Seiberlich
A simple and successful shrinkage method for weighting estimators of treatment effects. 512-525 - Vasilis Sarafidis:
Neighbourhood GMM estimation of dynamic panel data models. 526-544 - Laura Spierdijk
Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness. 545-559 - Vladica S. Stojanovic
The Split-SV model. 560-581 - Genaro Sucarrat, Steffen Grønneberg, Alvaro Escribano
Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. 582-594 - Chu-Ping C. Vijverberg, Wim P. M. Vijverberg, Süleyman Taspinar:
Linking Tukey's legacy to financial risk measurement. 595-615 - Alexander Vosseler
Bayesian model selection for unit root testing with multiple structural breaks. 616-630
- H. Peter Boswijk, Christian Francq
Special issue on Time Series Econometrics. 631-632
- Abdelkamel Alj, Kristján Jónasson, Guy Mélard
The exact Gaussian likelihood estimation of time-dependent VARMA models. 633-644 - Josu Arteche
A bootstrap approximation for the distribution of the Local Whittle estimator. 645-660 - Michael P. Clements:
Real-time factor model forecasting and the effects of instability. 661-675 - Lajos Horváth, Gregory Rice, Stephen Whipple:
Adaptive bandwidth selection in the long run covariance estimator of functional time series. 676-693 - Wei Lin, Gloria González-Rivera:
Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data. 694-711 - J. Huston McCulloch:
Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors. 712-733 - Garry D. A. Phillips, Gareth Liu-Evans:
Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models. 734-762 - Amit Shelef:
A Gini-based unit root test. 763-772 - Florian Ziel
Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes. 773-793
- Luc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori
Special issue on Bayesian econometrics. 794
- Yuta Kurose, Yasuhiro Omori
Dynamic equicorrelation stochastic volatility. 795-813 - Audrone Virbickaite
A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. 814-829 - Michel Lubrano, Abdoul Aziz Junior Ndoye
Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach. 830-846 - Joshua C. C. Chan
Fast computation of the deviance information criterion for latent variable models. 847-859
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