Pages that link to "Item:Q2925319"

The following pages link to Dynamic models for volatility and heavy tails. With applications to financial and economic time series (Q2925319):

Displaying 50 items.

• Stationarity and ergodicity of Markov switching positive conditional mean models (Q5095291) (← links)
• Robust bootstrap forecast densities for GARCH returns and volatilities (Q5106994) (← links)
• Inference for asymmetric exponentially weighted moving average models (Q5111784) (← links)
• Time‐series models with an EGB2 conditional distribution (Q5176863) (← links)
• (Q5326964) (← links)
• Time‐Varying Transition Probabilities for Markov Regime Switching Models (Q5346584) (← links)
• Nonlinear autoregressive models with optimality properties (Q5860996) (← links)
• Count Time Series: A Methodological Review (Q6044640) (← links)
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)
• A dynamic conditional score model for the log correlation matrix (Q6090565) (← links)
• Dynamic clustering of multivariate panel data (Q6090574) (← links)
• Semiparametric modeling of multiple quantiles (Q6090581) (← links)
• Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (Q6090598) (← links)
• Stochastic properties of nonlinear locally-nonstationary filters (Q6108342) (← links)
• Regime switching models for circular and linear time series (Q6135353) (← links)
• Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions (Q6138242) (← links)
• A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures (Q6158402) (← links)
• Lumpy and intermittent retail demand forecasts with score-driven models (Q6167355) (← links)
• A robust score-driven filter for multivariate time series (Q6176096) (← links)
• Dynamic Score-Driven Independent Component Analysis (Q6190328) (← links)
• Modelling circular time series (Q6190948) (← links)
• Maximum likelihood estimation for non-stationary location models with mixture of normal distributions (Q6193025) (← links)
• Observation-driven filtering of time-varying parameters using moment conditions (Q6193078) (← links)
• Bayesian prediction of jumps in large panels of time series data (Q6202925) (← links)
• Editorial: Networks, heterogeneity and evolution in economics: a short review (Q6497618) (← links)
• A robust Beveridge-Nelson decomposition using a score-driven approach with an application (Q6498748) (← links)
• Multiway clustering with time-varying parameters (Q6538406) (← links)
• Signal smoothing for score-driven models: a linear approach (Q6552986) (← links)
• Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
• Modelling volatility dependence with score copula models (Q6553228) (← links)
• Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets (Q6553231) (← links)
• Dynamic partial correlation models (Q6554221) (← links)
• Fast estimation of a large TVP-VAR model with score-driven volatilities (Q6556130) (← links)
• Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model (Q6573805) (← links)
• Maximum likelihood with a time varying parameter (Q6579434) (← links)
• Reverse engineering the last-minute on-line pricing practices: an application to hotels (Q6596735) (← links)
• Semiparametric GARCH via Bayesian Model Averaging (Q6617768) (← links)
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (Q6617811) (← links)
• A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics (Q6617813) (← links)
• Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model (Q6617823) (← links)
• Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (Q6617825) (← links)
• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (Q6623173) (← links)
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (Q6623216) (← links)
• Modeling Extreme Events: Time-Varying Extreme Tail Shape (Q6626257) (← links)
• Modeling and Forecasting Macroeconomic Downside Risk (Q6626267) (← links)
• CO\(_2\) has significant implications for hourly ambient temperature: evidence from Hawaii (Q6626612) (← links)
• Bank Business Models at Zero Interest Rates (Q6634887) (← links)
• Quasi-likelihood analysis for Student-Lévy regression (Q6635303) (← links)
• Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226) (← links)