Semi-parametric Bayesian Forecasting with an Application to Stochastic Volatility,
Fabian Goessling and Martina Danielova Zaharieva,
from Center for Quantitative Economics (CQE), University of Muenster
(2017)
Keywords: Bayesian Nonparametrics, Particle Filtering, Stochastic Volatility, MCMC, Forecasting
Simple, Robust, and Accurate F and t Tests in Cointegrated Systems,
Jungbin Hwang and Yixiao Sun,
from Department of Economics, UC San Diego
(2017)
Keywords: Social and Behavioral Sciences, Cointegration, F test, Alternative Asymptotics, Nonparametric Series Method, t test, Transformed and Augmented OLS
Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution,
Chao Wang, Qian Chen and Richard Gerlach,
from arXiv.org
(2017)
Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models,
Hiroyuki Kasahara and Katsumi Shimotsu,
from CIRJE, Faculty of Economics, University of Tokyo
(2017)