Printed from https://ideas.repec.org/s/eme/aecozz3.html
Content
2008
- 619-643 Bayesian analysis of the consumption CAPM
In: Bayesian Econometrics
by Veni Arakelian & Efthymios G. Tsionas
2006
- 1-39 Realized Beta: Persistence and Predictability
In: Econometric Analysis of Financial and Economic Time Series
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu - 3-31 A Flexible Dynamic Correlation Model
In: Econometric Analysis of Financial and Economic Time Series
by Dirk Baur - 33-57 A multivariate skew-garch model
In: Econometric Analysis of Financial and Economic Time Series
by Giovanni De Luca & Marc G. Genton & Nicola Loperfido - 41-62 Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison
In: Econometric Analysis of Financial and Economic Time Series
by Yong Bao & Tae-Hwy Lee - 59-103 Semi-Parametric Modelling of Correlation Dynamics
In: Econometric Analysis of Financial and Economic Time Series
by Christian M. Hafner & Dick van Dijk & Philip Hans Franses - 63-87 Flexible Seasonal Time Series Models
In: Econometric Analysis of Financial and Economic Time Series
by Zongwu Cai & Rong Chen - 89-121 Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods
In: Econometric Analysis of Financial and Economic Time Series
by Ngai Hang Chan & Wilfredo Palma - 105-124 A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals
In: Econometric Analysis of Financial and Economic Time Series
by Dimitris N. Politis - 123-151 Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
In: Econometric Analysis of Financial and Economic Time Series
by Valeriy V. Gavrishchaka - 125-151 A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications
In: Econometric Analysis of Financial and Economic Time Series
by Chor-yiu Sin - 153-178 Overlaying Time Scales in Financial Volatility Data
In: Econometric Analysis of Financial and Economic Time Series
by Eric Hillebrand - 155-181 Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations
In: Econometric Analysis of Financial and Economic Time Series
by Elena Andreou & Eric Ghysels - 179-204 Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective
In: Econometric Analysis of Financial and Economic Time Series
by Dennis W. Jansen & Zijun Wang - 183-210 Model-Based Measurement of Actual Volatility in High-Frequency Data
In: Econometric Analysis of Financial and Economic Time Series
by Borus Jungbacker & Siem Jan Koopman - 205-224 Structural Change as an Alternative to Long Memory in Financial Time Series
In: Econometric Analysis of Financial and Economic Time Series
by Tze Leung Lai & Haipeng Xing - 211-227 Noise reduced realized volatility: a kalman filter approach
In: Econometric Analysis of Financial and Economic Time Series
by John P. Owens & Douglas G. Steigerwald - 225-238 Time Series Mean Level and Stochastic Volatility Modeling by Smooth Transition Autoregressions: A BAYESIAN Approach
In: Econometric Analysis of Financial and Economic Time Series
by Hedibert Freitas Lopes & Esther Salazar - 231-257 Modeling the Asymmetry of Stock Movements Using Price Ranges
In: Econometric Analysis of Financial and Economic Time Series
by Ray Y. Chou - 239-276 Estimating Taylor-Type Rules: An Unbalanced Regression?
In: Econometric Analysis of Financial and Economic Time Series
by Pierre L. Siklos & Mark E. Wohar - 259-288 On a Simple Two-Stage Closed-form Estimator for a Stochastic Volatility in a General Linear Regression
In: Econometric Analysis of Financial and Economic Time Series
by Jean-Marie Dufour & Pascale Valéry - 277-296 Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility
In: Econometric Analysis of Financial and Economic Time Series
by Alejandro Villagran & Gabriel Huerta - 289-319 The Student's t
In: Econometric Analysis of Financial and Economic Time Series
by Maria S. Heracleous & Aris Spanos - 297-314 A Modern Time Series Assessment Of “A Statistical Model For Sunspot Activity” By C. W. J. Granger (1957)
In: Econometric Analysis of Financial and Economic Time Series
by Gawon Yoon - 315-316 Personal Comments on Yoon's Discussion of My 1957 Paper
In: Econometric Analysis of Financial and Economic Time Series
by Clive W.J. Granger - 317-352 A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series
In: Econometric Analysis of Financial and Economic Time Series
by Zhengjun Zhang - 321-363 ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts
In: Econometric Analysis of Financial and Economic Time Series
by Kajal Lahiri & Fushang Liu - 365-379 Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(p
In: Econometric Analysis of Financial and Economic Time Series
by Peter A. Zadrozny
2004
- 1-32 Introduction
In: Spatial and Spatiotemporal Econometrics
by James P. LeSage & R. Kelley Pace - 1-43 Statistical Analysis Of Genetic Algorithms In Discovering Technical Trading Strategies
In: Applications of Artificial Intelligence in Finance and Economics
by Chueh-Yung Tsao & Shu-Heng Chen - 35-74 Testing For Linear And Log-Linear Models Against Box-Cox Alternatives With Spatial Lag Dependence
In: Spatial and Spatiotemporal Econometrics
by Badi H. Baltagi & Dong Li - 45-70 A Genetic Programming Approach To Model International Short-Term Capital Flow
In: Applications of Artificial Intelligence in Finance and Economics
by Tina Yu & Shu-Heng Chen & Tzu-Wen Kuo - 71-91 Tools For Non-Linear Time Series Forecasting In Economics – An Empirical Comparison Of Regime Switching Vector Autoregressive Models And Recurrent Neural Networks
In: Applications of Artificial Intelligence in Finance and Economics
by Jane M. Binner & Thomas Elger & Birger Nilsson & Jonathan A. Tepper - 75-98 Spatial Lags And Spatial Errors Revisited: Some Monte Carlo Evidence
In: Spatial and Spatiotemporal Econometrics
by Robin Dubin - 93-125 Using Non-Parametric Search Algorithms To Forecast Daily Excess Stock Returns
In: Applications of Artificial Intelligence in Finance and Economics
by Nathan Lael Joseph & David S. Brée & Efstathios Kalyvas - 101-126 Bayesian Model Choice In Spatial Econometrics
In: Spatial and Spatiotemporal Econometrics
by Leslie W. Hepple - 127-143 Co-Evolving Neural Networks With Evolutionary Strategies: A New Application To Divisia Money
In: Applications of Artificial Intelligence in Finance and Economics
by Jane M. Binner & Graham Kendall & Alicia Gazely - 127-160 A Bayesian Probit Model With Spatial Dependencies
In: Spatial and Spatiotemporal Econometrics
by Tony E. Smith & James P. LeSage - 145-173 Forecasting The Emu Inflation Rate: Linear Econometric Vs. Non-Linear Computational Models Using Genetic Neural Fuzzy Systems
In: Applications of Artificial Intelligence in Finance and Economics
by Stefan Kooths & Timo Mitze & Eric Ringhut - 163-198 Instrumental Variable Estimation Of A Spatial Autoregressive Model With Autoregressive Disturbances: Large And Small Sample Results
In: Spatial and Spatiotemporal Econometrics
by Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich - 175-201 Finding Or Not Finding Rules In Time Series
In: Applications of Artificial Intelligence in Finance and Economics
by Jessica Lin & Eamonn Keogh - 199-234 Generalized Maximum Entropy Estimation Of A First Order Spatial Autoregressive Model
In: Spatial and Spatiotemporal Econometrics
by Thomas L. Marsh & Ron C. Mittelhammer - 203-223 A Comparison Of Var And Neural Networks With Genetic Algorithm In Forecasting Price Of Oil
In: Applications of Artificial Intelligence in Finance and Economics
by Sam Mirmirani & Hsi Cheng Li - 225-241 Searching For Divisia/Inflation Relationships With The Aggregate Feedforward Neural Network
In: Applications of Artificial Intelligence in Finance and Economics
by Vincent A. Schmidt & Jane M. Binner - 237-257 Employment Subcenters And Home Price Appreciation Rates In Metropolitan Chicago
In: Spatial and Spatiotemporal Econometrics
by Daniel P. McMillen - 243-275 Predicting Housing Value: Genetic Algorithm Attribute Selection And Dependence Modelling Utilising The Gamma Test
In: Applications of Artificial Intelligence in Finance and Economics
by Ian D. Wilson & Antonia J. Jones & David H. Jenkins & J.A. Ware - 259-276 Searching For Housing Submarkets Using Mixtures Of Linear Models
In: Spatial and Spatiotemporal Econometrics
by M.D. Ugarte & T. Goicoa & A.F. Militino - 279-294 Spatio-Temporal Autoregressive Models For U.S. Unemployment Rate
In: Spatial and Spatiotemporal Econometrics
by Xavier de Luna & Marc G. Genton - 295-331 A Learning Rule For Inferring Local Distributions Over Space And Time
In: Spatial and Spatiotemporal Econometrics
by Stephen M. Stohs & Jeffrey T. LaFrance
2003
- 1-27 A Comparative Study Of Pure And Pretest Estimators For A Possibly Misspecified Two-Way Error Component Model
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Badi H. Baltagi & Georges Bresson & Alain Pirotte - 29-43 Tests Of Common Deterministic Trend Slopes Applied To Quarterly Global Temperature Data
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Thomas B. Fomby & Timothy J. Vogelsang - 45-73 The Sandwich Estimate Of Variance
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by James W. Hardin - 75-105 Test Statistics And Critical Values In Selectivity Models
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by R.Carter Hill & Lee C. Adkins & Keith A. Bender - 107-132 Estimation, Inference, And Specification Testing For Possibly Misspecified Quantile Regression
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Tae-Hwan Kim & Halbert White - 133-148 Quasi–Maximum Likelihood Estimation With Bounded Symmetric Errors
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Douglas Miller & James Eales & Paul Preckel - 149-164 Consistent Quasi-Maximum Likelihood Estimation With Limited Information
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Douglas Miller & Sang-Hak Lee - 165-176 An Examination Of The Sign And Volatility Switching Arch Models Under Alternative Distributional Assumptions
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Mohamed F. Omran & Florin Avram - 177-197 Estimating A Linear Exponential Density When The Weighting Matrix And Mean Parameter Vector Are Functionally Related
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Chor-yiu Sin - 199-233 Testing In Gmm Models Without Truncation
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Timothy J. Vogelsang - 235-249 Bayesian Analysis Of Misspecified Models With Fixed Effects
In: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
by Tiemen Woutersen
2002
- 1-9 Econometric models in marketing: Editors' introduction
In: Advances in Econometrics
by Philip Hans Franses & Alan L. Montgomery
1999
- 1-20 Testing For Random Individual And Time Effects Using Unbalanced Panel Data
In: Messy Data
by Badi H. Baltagi & Young-Jae Chang & Qi Li - 21-45 A Statistical Approach For Disaggregating Mixed-Frequency Economic Time-Series Data
In: Messy Data
by Wai-Sum Chan & Zhao-Guo Chen - 47-73 An Extended Yule-Walker Method For Estimating A Vector Autoregressive Model With Mixed-Frequencey Data
In: Messy Data
by Baoline Chen & Peter A. Zadrozny - 75-102 Missing Data From Infrequency Of Purchase
In: Messy Data
by William Griffiths & Ma. Rebecca Valenzuela - 103-143 Messy Time Series
In: Messy Data
by Andrew Harvey & Siem Jan Koopman & Jeremy Penzer - 145-179 Simulation Of Multinomial Probit Probabilities And Imputation Of Missing Data
In: Messy Data
by Victor Lavy & Michael Palumbo & Steven Stern - 181-202 Temporal Disaggregation, Missing Observations, Outliers, And Forecasting
In: Messy Data
by Massimiliano Marcellino - 203-242 Testing For Unit Roots In Economic Time Series With Missing Observations
In: Messy Data
by Kevin F. Ryan & David E. A. Giles - 243-268 Influential Data Diagnostics For Transition Data
In: Messy Data
by Larry W. Taylor - 269-305 The Effects Of Different Types Of Outliers On Unit Root Tests
In: Messy Data
by Yong Yin & G. S. Maddala
1997
- 3-24 The Maximum Entropy Approach To Estimation And Inference
In: Applying Maximum Entropy to Econometric Problems
by Amos Golan & George Judge & Douglas Miller - 25-83 Information Theoretic Regression Methods
In: Applying Maximum Entropy to Econometric Problems
by Ehsan S. Soofi - 85-105 The Bayesian Method Of Moments (Bmom)
In: Applying Maximum Entropy to Econometric Problems
by Arnold Zellner - 107-134 Information Theoretic Methods For Categorical Data
In: Applying Maximum Entropy to Econometric Problems
by Ehsan S. Soofi & D.V. Gokhale - 135-161 Model Selection By Maximum Entropy
In: Applying Maximum Entropy to Econometric Problems
by Pieter H.F.M. van Casteren & Jan G. De Gooijer - 163-181 Maximum-Entropy Acceptable-Likelihood Estimation Of Population Heterogeneity
In: Applying Maximum Entropy to Econometric Problems
by Peter S. Faynzilberg - 183-197 A Monte Carlo Study Of A Generalized Maximum Entropy Estimator Of The Binary Choice Model
In: Applying Maximum Entropy to Econometric Problems
by Lee Adkins - 201-216 Constructing A Unimodal Bayesian Prior Distribution From Incompletely Assessed Information
In: Applying Maximum Entropy to Econometric Problems
by Patrick L. Brockett & Linda L. Golden & Kwang H. Paick - 217-235 Recovering Wastewater Treatment Objectives
In: Applying Maximum Entropy to Econometric Problems
by Linda Fernandez - 237-276 Dart Boards And Asset Prices
In: Applying Maximum Entropy to Econometric Problems
by Les Gulko - 277-301 Maximum Entropy And Derivative Securities
In: Applying Maximum Entropy to Econometric Problems
by Raymond J. Hawkins - 303-317 Forecasting The Production Benefits And Incidence Of A Public Program
In: Applying Maximum Entropy to Econometric Problems
by Daniel Osgood & Daniel Cohen & Doug Parker & David Zilberman - 319-340 Another Perspective On Recent Changes In The U.S. Income Distribution
In: Applying Maximum Entropy to Econometric Problems
by Hang K. Ryu & Daniel J. Slottje - 341-358 Omnibus Tests For Multivariate Normality Based On A Class Of Maximum Entropy Distributions
In: Applying Maximum Entropy to Econometric Problems
by Carlos M. Urzua