Kreuzer, Alexander; Czado, Claudia Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. (English) Zbl 07499294 J. Comput. Graph. Stat. 29, No. 3, 523-534 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Kreuzer} and \textit{C. Czado}, J. Comput. Graph. Stat. 29, No. 3, 523--534 (2020; Zbl 07499294) Full Text: DOI OpenURL
Mertens, Elmar; Nason, James M. Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (English) Zbl 1466.91200 Quant. Econ. 11, No. 4, 1485-1520 (2020). MSC: 91B64 62P20 PDF BibTeX XML Cite \textit{E. Mertens} and \textit{J. M. Nason}, Quant. Econ. 11, No. 4, 1485--1520 (2020; Zbl 1466.91200) Full Text: DOI OpenURL
Maliar, Lilia; Maliar, Serguei; Taylor, John B.; Tsener, Inna A tractable framework for analyzing a class of nonstationary Markov models. (English) Zbl 1466.91190 Quant. Econ. 11, No. 4, 1289-1323 (2020). MSC: 91B62 PDF BibTeX XML Cite \textit{L. Maliar} et al., Quant. Econ. 11, No. 4, 1289--1323 (2020; Zbl 1466.91190) Full Text: DOI OpenURL
Frazier, David T.; Renault, Eric Indirect inference with(out) constraints. (English) Zbl 1454.62108 Quant. Econ. 11, No. 1, 113-159 (2020). MSC: 62G05 62G30 62M10 PDF BibTeX XML Cite \textit{D. T. Frazier} and \textit{E. Renault}, Quant. Econ. 11, No. 1, 113--159 (2020; Zbl 1454.62108) Full Text: DOI arXiv OpenURL
Karlsson, Sune; Österholm, Pär The relation between the corporate bond-yield spread and the real economy: stable or time-varying? (English) Zbl 1429.91343 Econ. Lett. 186, Article ID 108883, 3 p. (2020). MSC: 91G50 PDF BibTeX XML Cite \textit{S. Karlsson} and \textit{P. Österholm}, Econ. Lett. 186, Article ID 108883, 3 p. (2020; Zbl 1429.91343) Full Text: DOI Link OpenURL
Moura, Guilherme V.; Noriller, Mateus R. Maximum likelihood estimation of a TVP-VAR. (English) Zbl 1429.62407 Econ. Lett. 174, 78-83 (2019). MSC: 62M10 62H12 62P05 60J70 PDF BibTeX XML Cite \textit{G. V. Moura} and \textit{M. R. Noriller}, Econ. Lett. 174, 78--83 (2019; Zbl 1429.62407) Full Text: DOI Link OpenURL
Petrova, Katerina A quasi-Bayesian local likelihood approach to time varying parameter VAR models. (English) Zbl 1452.62672 J. Econom. 212, No. 1, 286-306 (2019). MSC: 62M10 62F15 62P20 PDF BibTeX XML Cite \textit{K. Petrova}, J. Econom. 212, No. 1, 286--306 (2019; Zbl 1452.62672) Full Text: DOI OpenURL
Dimitrakopoulos, Stefanos The semiparametric asymmetric stochastic volatility model with time-varying parameters: the case of US inflation. (English) Zbl 1398.62293 Econ. Lett. 155, 14-18 (2017). MSC: 62P05 60H30 65C05 60J20 62F15 PDF BibTeX XML Cite \textit{S. Dimitrakopoulos}, Econ. Lett. 155, 14--18 (2017; Zbl 1398.62293) Full Text: DOI Link OpenURL
Huber, Florian Structural breaks in Taylor rule based exchange rate models – evidence from threshold time varying parameter models. (English) Zbl 1400.62322 Econ. Lett. 150, 48-52 (2017). MSC: 62P20 62M20 PDF BibTeX XML Cite \textit{F. Huber}, Econ. Lett. 150, 48--52 (2017; Zbl 1400.62322) Full Text: DOI Link OpenURL
Dimitrakopoulos, Stefanos Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (English) Zbl 1400.62079 Econ. Lett. 150, 10-14 (2017). MSC: 62G08 62F15 62P20 PDF BibTeX XML Cite \textit{S. Dimitrakopoulos}, Econ. Lett. 150, 10--14 (2017; Zbl 1400.62079) Full Text: DOI Link OpenURL
Amir-Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun Measurement errors and monetary policy: then and now. (English) Zbl 1401.91298 J. Econ. Dyn. Control 79, 66-78 (2017). MSC: 91B64 PDF BibTeX XML Cite \textit{P. Amir-Ahmadi} et al., J. Econ. Dyn. Control 79, 66--78 (2017; Zbl 1401.91298) Full Text: DOI Link OpenURL
Tagore, Vickneswary; Zheng, Nan; Sutradhar, Brajendra C. Inferences in stochastic volatility models: a new simpler way. (English) Zbl 1407.62329 Sutradhar, Brajendra C. (ed.), Advances and challenges in parametric and semi-parametric analysis for correlated data. Proceedings of the 2015 international symposium in statistics, ISS 2015, St. John’s, Canada, July 6–8, 2015. Cham: Springer. Lect. Notes Stat. 218, 97-131 (2016). MSC: 62M10 62P05 62E15 PDF BibTeX XML Cite \textit{V. Tagore} et al., Lect. Notes Stat. 218, 97--131 (2016; Zbl 1407.62329) Full Text: DOI OpenURL
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. The time-dependent FX-SABR model: efficient calibration based on effective parameters. (English) Zbl 1337.91133 Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550042, 38 p. (2015). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550042, 38 p. (2015; Zbl 1337.91133) OpenURL
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius Long memory with stochastic variance model: a recursive analysis for US inflation. (English) Zbl 06983970 Comput. Stat. Data Anal. 76, 144-157 (2014). MSC: 62-XX PDF BibTeX XML Cite \textit{C. S. Bos} et al., Comput. Stat. Data Anal. 76, 144--157 (2014; Zbl 06983970) Full Text: DOI OpenURL
Otranto, Edoardo Volatility clustering in the presence of time-varying model parameters. (English) Zbl 07265838 J. Appl. Stat. 40, No. 4, 901-915 (2013). MSC: 62-XX PDF BibTeX XML Cite \textit{E. Otranto}, J. Appl. Stat. 40, No. 4, 901--915 (2013; Zbl 07265838) Full Text: DOI OpenURL
Otranto, Edoardo Asset allocation using flexible dynamic correlation models with regime switching. (English) Zbl 1202.91353 Quant. Finance 10, No. 3, 325-338 (2010). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{E. Otranto}, Quant. Finance 10, No. 3, 325--338 (2010; Zbl 1202.91353) Full Text: DOI Link OpenURL
Strizhov, V. V.; Sologub, R. A. An inductive construction of regression models for the volatility of options trading. (Russian) Zbl 1224.91166 Vychisl. Tekhnol. 14, No. 5, 102-113 (2009). MSC: 91G20 91G70 62P05 62J02 PDF BibTeX XML Cite \textit{V. V. Strizhov} and \textit{R. A. Sologub}, Vychisl. Tekhnol. 14, No. 5, 102--113 (2009; Zbl 1224.91166) OpenURL
Benati, Luca; Goodhart, Charles Investigating time-variation in the marginal predictive power of the yield spread. (English) Zbl 1181.91271 J. Econ. Dyn. Control 32, No. 4, 1236-1272 (2008). MSC: 91B84 PDF BibTeX XML Cite \textit{L. Benati} and \textit{C. Goodhart}, J. Econ. Dyn. Control 32, No. 4, 1236--1272 (2008; Zbl 1181.91271) Full Text: DOI Link OpenURL
Wilmott, Paul Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM. 2nd ed. (English) Zbl 1127.91002 Chichester: John Wiley & Sons (ISBN 978-0-470-01870-5/hbk). lxxv, 1379 p. (2006). Reviewer: Małgorzata Doman (Poznań) MSC: 91-01 91B70 00A06 91B24 91Gxx 60H10 60H35 65C05 PDF BibTeX XML Cite \textit{P. Wilmott}, Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM. 2nd ed. Chichester: John Wiley \& Sons (2006; Zbl 1127.91002) OpenURL
Lee, Youngjo; Nelder, John A.; Pawitan, Yudi Generalized linear models with random effects: unified analysis via \(h\)-likelihood. With CD-ROM. (English) Zbl 1110.62092 Monographs on Statistics and Applied Probability 106. Boca Raton, FL: Chapman & Hall/CRC (ISBN 1-58488-631-5/hbk; 978-1-4200-1134-0/ebook). x, 396 p. (2006). Reviewer: Yuehua Wu (Toronto) MSC: 62J12 62-02 62Pxx PDF BibTeX XML Cite \textit{Y. Lee} et al., Generalized linear models with random effects: unified analysis via \(h\)-likelihood. With CD-ROM. Boca Raton, FL: Chapman \& Hall/CRC (2006; Zbl 1110.62092) Full Text: DOI OpenURL
Amendola, Alessandra; Storti, Giuseppe A nonlinear time series approach to modelling asymmetry in stock market indexes. (English) Zbl 1145.91391 Stat. Methods Appl. 11, No. 2, 201-216 (2002). MSC: 91B84 91B82 PDF BibTeX XML Cite \textit{A. Amendola} and \textit{G. Storti}, Stat. Methods Appl. 11, No. 2, 201--216 (2002; Zbl 1145.91391) Full Text: DOI OpenURL
Artemiev, S. S.; Yakunin, M. A. Estimates of the parameters in a system of stochastic differential equations with linear inclusion of parameters. (Russian. English summary) Zbl 0921.60050 Sib. Zh. Vychisl. Mat. 2, No. 1, 1-11 (1999). MSC: 60H10 PDF BibTeX XML Cite \textit{S. S. Artemiev} and \textit{M. A. Yakunin}, Sib. Zh. Vychisl. Mat. 2, No. 1, 1--11 (1999; Zbl 0921.60050) OpenURL