Econometrics and
Statistics
Green Table of
Contents
Volume
16
Pages
1-168 (October 2020)
DSGE-based priors
for BVARs and quasi-Bayesian DSGE estimation--UP
Thomai Filippeli,
Richard
Harrison, Konstantinos Theodoridis
Pages 1-27
The effect of explanatory variables on
income: A tool that
allows a closer look at the differences in income
Gerhard Tutz, Moritz Berger
Pages 28-41
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Realized stochastic volatility models with
generalized Gegenbauer long memory
Manabu Asai, Michael
McAleer, Shelton Peiris
Identification of independent structural
shocks in the
presence of multiple Gaussian components--UP
Simone Maxand
Pages 55-68
On generalized bivariate student-t Gegenbauer
long memory stochastic volatility models with leverage: Bayesian
forecasting of
cryptocurrencies with a focus on Bitcoin
Andrew Phillip,
Jennifer Chan, Shelton Peiris
Pages 69-90
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Fractional Brownian markets with time-varying
volatility and
high-frequency data--UP
Ananya Lahiri, Rituparna Sen
Pages 91-107
Part B: Statistics
Semiparametric
inference with missing data: Robustness to outliers and model
misspecification--UP
Eva Cantoni, Xavier de Luna
Pages 108-120
Hypothesis testing for tail dependence
parameters on the
boundary of the parameter space--UP
Anna Kiriliouk
Pages 121-135
Selection tests for possibly misspecified
hierarchical multinomial marginal models
Roberto Colombi
Pages 136-147
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Flexible copula models with dynamic
dependence and
application to financial data
Pavel Krupskii, Harry Joe
Pages 148-167
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