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5 research outputs found
Time Varying Transition Probabilities for Markov Regime Switching Models
Author
A C Harvey
A C Harvey
+41 more
A J Filardo
A Lucas
Andre Lucas
C Francq
C Francq
C Gourieroux
C Kim
C M Hurvich
C M Turner
C.-J Kim
D B Nelson
D Creal
D Creal
D Creal
D Creal
D Delle Monache
D H Oh
D R Cox
D R Smith
D Straumann
F Blasques
F Blasques
F Diebold
Francisco Blasques
H Akaike
I De Lira Salvatierra
J D Hamilton
J Doornik
J Hamilton
J M Maheu
M Rosenblatt
Marco Bazzi
P Bougerol
R F Engle
R F Engle
S F Gray
S Fr�hwirth-Schnatter
S J Koopman
Siem Jan Koopman
T Bollerslev
U Krengel
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref
Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Author
A C Harvey
A Getis
+49 more
A Harvey
A J Mcneil
A Timmermann
Anna Gloria Billl
B H Baltagi
C F Manski
D Creal
Dhe
Dho
E J Elton
E Jondeau
F Blasques
F Blasques
F Blasques
G Arbia
H Asgharian
H H Kelejian
H H Kelejian
H H Kelejian
H H Kelejian
H Markowitz
I De Lira Salvatierra
I Welch
J C Hays
J Lesage
J P Elhorst
J P Elhorst
J P Lesage
K Ord
L An
L Anselin
L Anselin
L Anselin
L Lee
L.-F Lee
Leopoldo Catania
M Arnold
N.-J Hsu
R Engle
R F Engle
Recent
S J Koopman
S Keiler
T Bollerslev
V Fernandez
X Qu
Y Bao
Y K Tse
Y K Tse
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Testing for Parameter Instability in Competing Modeling Frameworks
Author
A C Harvey
A C Harvey
+47 more
A J Patton
Andre Lucas
B E Hansen
C Hafner
D D Creal
D D Creal
D D Creal
D D Creal
D D Creal
D H Oh
D W Andrews
D W K Andrews
D W K Andrews
Drew D. Creal
F Cipollini
Francesco Calvori
G C Chow
G Elliott
H White
I De Lira Salvatierra
J Bai
J Durbin
J Durbin
J Durbin
J Hamilton
J Lee
J Nyblom
J Nyblom
J R Russell
L Bauwens
L Franzini
M L King
N Shephard
N Shephard
P Perron
R A Davis
R Davidson
R F Engle
R F Engle
R F Engle
S J Koopman
Siem Jan Koopman
T Bollerslev
T J Vogelsang
U K M�ller
W Ploberger
Z Qu
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref
A COAALA Copula for Stock-Bond Return Co-Movement: Beware of the Beast With Four Tails
Author
A Ghalanos
A Hatherley
+55 more
A Henningsen
A Ilmanen
A J Patton
A J Patton
A Sklar
A Tsanakas
Anne-Florence Allard
B Y Liu
C Diks
C Genest
C Genest
C Genest
C Nguyen
C.-L Chang
D G Baur
D G Baur
E Berndt
E Frees
E Jondeau
E Turgutly
F Durante
F Durante
F X Diebold
H Asgharian
H Asgharian
H Joe
H Manner
H Ohmi
H.-M Zhu
Hamza Hanbali
I De Lira Salvatierra
J H Boyd
J Rodriguez
Kristien Smedts
L Baele
L R Glosten
M C Chui
M Guidolin
P Christoffersen
R B Durand
R B Nelsen
R Connolly
R Core Team
R Elkamhi
R Engle
R Garcia
R Jammazi
S Demarta
S Nadarajah
T J Fisher
T Okimoto
T Yoshiba
U Cherubini
Y Hong
Y.-C Wang
Publication venue
'Elsevier BV'
Publication date
01/01/2019
Field of study
No full text
Crossref
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
Author
A J Patton
A Lunde
+61 more
C Pakel
C T Lawrence
D B Brown
D H Oh
D Holtz-Eakin
D N Politis
D Noureldin
E W Anderson
F Corsi
F M Bandi
F X Diebold
H White
I De Lira Salvatierra
I Komunjer
J Brodie
J Fan
J Fleming
J Fleming
J Li
J R Magnus
J Staudenmayer
J Tu
K Christensen
L K Chan
M Baker
M Constantinides
M D Pooter
M Marcellino
N Hautsch
N Sizova
O E Barndorff-Nielsen
O E Barndorff-Nielsen
O Ledoit
O Ledoit
O Ledoit
P R Hansen
P R Hansen
P R Hansen
Q Liu
R Chiriac
R Engle
R Jagannathan
R Varneskov
S Gon�alves
S Laurent
T Bollerslev
T Bollerslev
T G Andersen
T G Andersen
T G Andersen
T G Andersen
T G Andersen
T G Andersen
T W Epps
Tim Bollerslev
V Demiguel
V Demiguel
V Demiguel
V Voev
Y A�?ta�?t-Sahalia
Y Han
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref