Efficient Estimation of the Parameter Path in Unstable Time Series Models
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- Elliott, Graham & Müller, Ulrich K., 2014.
"Pre and post break parameter inference,"
Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
- Elliott, G & Müller, UK, 2014. "Pre and post break parameter inference," University of California at San Diego, Economics Working Paper Series qt4j733246, Department of Economics, UC San Diego.
- Bretó, Carles, 2014. "On idiosyncratic stochasticity of financial leverage effects," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 20-26.
- Cyril May & Greg Farrell & Jannie Rossouw, 2018. "Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data," South African Journal of Economics, Economic Society of South Africa, vol. 86(3), pages 308-338, September.
- J. Hoyo & G. Llorente & C. Rivero, 2019. "Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 113-137, June.
- Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
- Carles Bret'o, 2013. "On idiosyncratic stochasticity of financial leverage effects," Papers 1312.5496, arXiv.org.
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