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ORCIDComputational Statistics & Data Analysis, Volume 76
Volume 76, August 2014
- Erricos John Kontoghiorghes
, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu:
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. 1-3
- Peter Martey Addo, Monica Billio, Dominique Guégan:
The univariate MT-STAR model and a new linearity and unit root test procedure. 4-19 - António Afonso, Pedro Gomes, Abderrahim Taamouti:
Sovereign credit ratings, market volatility, and financial gains. 20-33 - Philipp Andres:
Maximum likelihood estimates for positive valued dynamic score models; The DySco package. 34-42 - Francesco Audrino:
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. 43-60 - Maciej Augustyniak:
Maximum likelihood estimation of the Markov-switching GARCH model. 61-75 - Stéphane Auray, Aurélien Eyquem, Frédéric Jouneau-Sion:
Modeling tails of aggregate economic processes in a stochastic growth model. 76-94 - Oualid Bada, Alois Kneip:
Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. 95-115 - Richard T. Baillie, George Kapetanios, Fotis Papailias:
Modified information criteria and selection of long memory time series models. 116-131 - Christoph Bergmeir, Mauro Costantini, José Manuel Benítez:
On the usefulness of cross-validation for directional forecast evaluation. 132-143 - Charles S. Bos, Siem Jan Koopman, Marius Ooms:
Long memory with stochastic variance model: A recursive analysis for US inflation. 144-157 - Giorgio Calzolari, Roxana Halbleib, Alessandro Parrini:
Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood. 158-171 - Massimiliano Caporin, Michael McAleer:
Robust ranking of multivariate GARCH models by problem dimension. 172-185 - Joshua C. C. Chan, Gary Koop:
Modelling breaks and clusters in the steady states of macroeconomic variables. 186-193 - Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin:
Bayesian estimation of smoothly mixing time-varying parameter GARCH models. 194-209 - Stéphane Chrétien, Juan-Pablo Ortega:
Multivariate GARCH estimation via a Bregman-proximal trust-region method. 210-236 - Ignacio Díaz-Emparanza:
Numerical distribution functions for seasonal unit root tests. 237-247 - Zaichao Du:
Testing for serial independence of panel errors. 248-261 - Pedro Galeano, Dominik Wied:
Multiple break detection in the correlation structure of random variables. 262-282 - Marco Gallegati, James B. Ramsey, Willi Semmler:
Interest rate spreads and output: A time scale decomposition analysis using wavelets. 283-290 - Kilani Ghoudi, Bruno N. Rémillard:
Comparison of specification tests for GARCH models. 291-300 - Stefano Grassi, Paolo Santucci de Magistris:
When long memory meets the Kalman filter: A comparative study. 301-319 - Andrew Harvey, Genaro Sucarrat:
EGARCH models with fat tails, skewness and leverage. 320-338 - Eunju Hwang, Dong Wan Shin:
Infinite-order, long-memory heterogeneous autoregressive models. 339-358 - Stefan Jäschke:
Estimation of risk measures in energy portfolios using modern copula techniques. 359-376 - Deniz Dilan Karaman Örsal, Bernd Droge:
Panel cointegration testing in the presence of a time trend. 377-390 - Yiannis Karavias, Elias Tzavalis:
Testing for unit roots in short panels allowing for a structural break. 391-407 - Gregor Kastner, Sylvia Frühwirth-Schnatter:
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. 408-423 - Jan F. Kiviet, Garry D. A. Phillips:
Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models. 424-448 - Tore Selland Kleppe, Roman Liesenfeld:
Efficient importance sampling in mixture frameworks. 449-463 - Rachidi Kotchoni:
The indirect continuous-GMM estimation. 464-488 - Rolf Larsson:
A likelihood ratio type test for invertibility in moving average processes. 489-501 - Luís F. Martins, Paulo M. M. Rodrigues:
Testing for persistence change in fractionally integrated models: An application to world inflation rates. 502-522 - Aleksey Min, Claudia Czado:
SCOMDY models based on pair-copula constructions with application to exchange rates. 523-535 - Henri Nyberg, Pentti Saikkonen:
Forecasting with a noncausal VAR model. 536-555 - Gian Piero Aielli, Massimiliano Caporin:
Variance clustering improved dynamic conditional correlation MGARCH estimators. 556-576 - Jean-Yves Pitarakis:
A joint test for structural stability and a unit root in autoregressions. 577-587 - Jeroen V. K. Rombouts, Lars Stentoft:
Bayesian option pricing using mixed normal heteroskedasticity models. 588-605 - André Alves Portela Santos, Guilherme V. Moura:
Dynamic factor multivariate GARCH model. 606-617 - Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori:
Realized stochastic volatility with leverage and long memory. 618-641 - Hans J. Skaug, Jun Yu:
A flexible and automated likelihood based framework for inference in stochastic volatility models. 642-654 - Mike K. P. So, Cherry Y. T. Yeung:
Vine-copula GARCH model with dynamic conditional dependence. 655-671 - Jakob Stöber, Claudia Czado:
Regime switches in the dependence structure of multidimensional financial data. 672-686 - J. H. Venter, P. J. de Jongh:
Extended stochastic volatility models incorporating realised measures. 687-707 - Fangfang Wang:
Optimal design of Fourier estimator in the presence of microstructure noise. 708-722 - Dominik Wied, Herold Dehling, Maarten van Kampen, Daniel Vogel:
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution. 723-736 - Yu-Min Yen, Tso-Jung Yen:
Solving norm constrained portfolio optimization via coordinate-wise descent algorithms. 737-759
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