Accelerating the calibration of stochastic volatility models,
Fiodar Kilin,
from University Library of Munich, Germany
(2007)
Keywords: Stochastic Volatility Models; Calibration; Numerical Integration; Fast Fourier Transform
Non-linear models: applications in economics,
Lucian Albu,
from University Library of Munich, Germany
(2006)
Keywords: non-linear model; continuous time map; strange attractor; fractal dimension; natural unemployment
Cointegration testing in dependent panels with breaks,
Francesca Di Iorio and Stefano Fachin,
from University Library of Munich, Germany
(2007)
Keywords: Panel cointegration; continuos-path block bootstrap; breaks; Feldstein-Horioka Puzzle
A note on model selection in (time series) regression models - General-to-specific or specific-to-general?,
Helmut Herwartz,
from Christian-Albrechts-University of Kiel, Department of Economics
(2007)
Keywords: Model selection, specification testing, Lagrange multiplier tests
True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence,
Ruipeng Liu, Tiziana Di Matteo and Thomas Lux,
from Christian-Albrechts-University of Kiel, Department of Economics
(2007)
Keywords: Generalized Hurst exponent, Multifractal model, GMM estimation, Scaling
Forecasting with Factors: The Accuracy of Timeliness,
Christian Gillitzer and Jonathan Kearns,
from Reserve Bank of Australia
(2007)
Keywords: forecasting; factor models; Australia
Splines for Financial Volatility,
Francesco Audrino and Peter Bühlmann,
from Department of Economics, University of St. Gallen
(2007)
Keywords: Boosting, B-splines, Conditional variance, Financial time series, GARCH model, Volatility
Local linear impulse responses for a small open economy,
Alfred Haug and Christie Smith,
from Reserve Bank of New Zealand
(2007)
An Assessment of Alternative State Space Models for Count Time Series,
Ralph Snyder, Gael Martin, Phillip Gould and Paul D. Feigin,
from Monash University, Department of Econometrics and Business Statistics
(2007)
Keywords: Discrete state-space model; single source of error model; hidden Markov
A flexible approach to parametric inference in nonlinear time series models,
Gary Koop and Simon Potter,
from Federal Reserve Bank of New York
(2007)
Keywords: time series analysis; Economic forecasting; Econometric models
Some Issues in Using Sign Restrictions for Identifying Structural VARs,
Renee Fry-McKibbin and Adrian Pagan,
from National Centre for Econometric Research
(2007)
A Closed-Form Asymptotic Variance-Covariance Matrix for the Maximum Likelihood Estimator of the GARCH(1,1) Model,
Jun Ma,
from University of Washington, Department of Economics
(2006)
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified,
Jun Ma, Charles Nelson and Richard Startz,
from University of Washington, Department of Economics
(2007)
A Comparison of Univariate Stochastic Volatility Models for U.S. Short Rates Using EMM Estimation,
Ying Gu and Eric Zivot,
from University of Washington, Department of Economics
(2006)
Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit,
Vanessa Berenguer-Rico and Josep Carrion-i-Silvestre,
from University of Barcelona, Research Institute of Applied Economics
(2007)
Keywords: I(2) processes, multicointegration, polynomial cointegration, structural break, sustainability of external deficit.
Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence,
Syed Basher and Josep Carrion-i-Silvestre,
from University of Barcelona, Research Institute of Applied Economics
(2007)
Keywords: Purchasing power parity, Half-lives, Panel unit roottests, Multiple structural breaks, Cross-section dependence.