DOI10.2307/2951766zbMath0780.62100OpenAlexW1993117258MaRDI QIDQ3142743
Peter E. Rossi, A. Ronald Gallant, George Tauchen
Publication date: 2 February 1994
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10161/1875
Matrix exponential GARCH,
Noise in unspecified, nonlinear time series,
Asymmetric effects of exogenous tax changes,
The effects of oil price shocks on job reallocation,
Estimation of stochastic volatility models with diagnostics,
Asymptotic filtering theory for multivariate ARCH models,
Cointegration and speed of convergence to equilibrium,
Modeling and pricing long memory in stock market volatility,
Fractionally integrated generalized autoregressive conditional heteroskedasticity,
Qualitative and asymptotic performance of SNP density estimators,
Impulse response analysis in nonlinear multivariate models,
Volume, volatility, and leverage: A dynamic analysis,
Time reversibility tests of volume-volatility dynamics for stock returns,
On the speed of adjustment in ESTAR models when allowance is made for bias in estimation,
Moments, shocks and spillovers in Markov-switching VAR models,
Deterministic impulse response in a nonlinear model. An analytical expression,
Multivariate leverage effects and realized semicovariance GARCH models,
Gaussian inference on certain long-range dependent volatility models,
Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model,
A robust score-driven filter for multivariate time series,
Monetary policy when wages are downwardly rigid: Friedman meets Tobin,
Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles,
A Model-free Variable Screening Method Based on Leverage Score,
Examining macroeconomic models through the lens of asset pricing,
Shock elasticities and impulse responses,
A Markov-switching multifractal inter-trade duration model, with application to US equities,
Estimating nonlinear dynamic equilibrium models by matching impulse responses,
Bootstrapping impulse responses in VAR analyses,
VAR for VaR: measuring tail dependence using multivariate regression quantiles,
Impulse response analysis for structural dynamic models with nonlinear regressors,
Trading volume in financial markets: an introductory review,
A nonparametric test of the mixture-of-distributions model,
On fiscal and monetary policy-induced macroeconomic volatility dynamics,
Short-memory and the PPP hypothesis,
Structural changes in the US economy: is there a role for monetary policy?,
Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading,
Persistent-threshold-GARCH processes: model and application,
Twisted probabilities, uncertainty, and prices,
Absorption of shocks in nonlinear autoregressive models,
Overparameterization in the seminonparametric density estimation,
Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model,
DYNAMIC FACTOR MODELS,
Explaining bond returns in heterogeneous agent models: The importance of higher-order moments,
Nonlinear impulse response functions,
Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes,
MACROECONOMIC SHOCKS AND THE FOREIGN EXCHANGE RISK PREMIA,
Modeling long memory in stock market volatility,
Cross-validated SNP density estimates,
Nonparametric Bayes subject to overidentified moment conditions,
Copula-based time series with filtered nonstationarity
