Parametric Conditional Monte Carlo Density Estimation
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References listed on IDEAS
- R. Anton Braun & Huiyu Li & John Stachurski, 2011. "Generalized Look-Ahead Methods for Computing Stationary Densities," ANU Working Papers in Economics and Econometrics 2011-558, Australian National University, College of Business and Economics, School of Economics.
- Zhao, Zhibiao, 2010. "Density estimation for nonlinear parametric models with conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 155(1), pages 71-82, March.
- Siem Jan Koopman & Eugenie Hol Uspensky, 2002.
"The stochastic volatility in mean model: empirical evidence from international stock markets,"
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John Wiley & Sons, Ltd., vol. 17(6), pages 667-689, December.
- Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689.
- AÃ¯t-Sahalia, Yacine & Fan, Jianqing & Peng, Heng, 2009. "Nonparametric Transition-Based Tests for Jump Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1102-1116.
- Daniel R. Smith & Allan Layton, 2007. "Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(1), pages 79-98.
- He, Zhongzhi (Lawrence) & Huh, Sahn-Wook & Lee, Bong-Soo, 2010. "Dynamic Factors and Asset Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(03), pages 707-737, June.
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