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Chudik, Alexander [Author]; Pesaran, M. Hashem [Author]; Smith, Ron P. [Author]

Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

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https://ssrn.com/abstract=3874711

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[S.l.]: SSRN, [2023]

Published in: Globalization Institute Working Paper ; No. 409
Pyrlik, Vladimir [Author]; Elizarov, Pavel [Author]; Leonova, Aleksandra [Author]

Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)

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Prague: Charles University, Center for Economic Research and Graduate Education, Noember 2021

Published in: Centrum pro Ekonomický Výzkum a Postgradualní Vzdělávání: Working paper series ; 713
Han, Heejoon [Author]; Kutan, Ali M. [Author]; Ryu, Doojin [Author]

Effects of the US stock market return and volatility on the VKOSPI

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Kiel: Kiel Institute for the World Economy (IfW), 2015
Busch, Thomas [Author]; Christensen, Bent Jesper [Author]; Nielsen, Morten Ørregaard [Author]

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

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http://hdl.handle.net/10419/67768

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Kingston (Ontario): Queen's University, Department of Economics, 2008
Busch, Thomas [Author]; Christensen, Bent Jesper [Author]; Nielsen, Morten Ørregaard [Author]

The information content of treasury bond options concerning future volatility and price jumps

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http://hdl.handle.net/10419/67881

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Kingston (Ontario): Queen's University, Department of Economics, 2006
Lesage, James P. [Author]; Vance, Colin [Author]; Chih, Yao-Yu [Author]

A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry

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http://hdl.handle.net/10419/140875

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Essen: Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), 2016
Juodis, Artūras [Author]; Karavias, Yiannis [Author]

Partially heterogeneous tests for granger non-causality in panel data

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Vilnius: Lietuvos Bankas, April 2019

Published in: Working paper series ; 2019,59
Góes, Carlos [Author]

Testing Piketty's hypothesis on the drivers of income inequality : evidence from panel VARs with heterogeneous dynamics

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http://elibrary.imf.org/view/journals/001/2016/160/001.2016.issue-160-en.xml

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[Washington, D.C.]: International Monetary Fund, August 2016

Published in: Internationaler Währungsfonds: IMF working papers ; 2016016000
McAleer, Michael [Author]; Medeiros, Marcelo C. [Author]

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

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http://hdl.handle.net/10419/176027

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Rio de Janeiro: Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, 2007
Dudine, Paolo [Author]; Jalles, João Tovar [Author]

How buoyant is the tax system? : new evidence from a large heterogeneous panel

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http://elibrary.imf.org/view/journals/001/2017/004/001.2017.issue-004-en.xml

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[Washington, D.C.]: International Monetary Fund, January 2017

Published in: Internationaler Währungsfonds: IMF working papers ; 2017000400
Claeys, Peter [Author]; Vašíček, Bořek [Author]

Transmission of uncertainty shocks: learning from heterogeneous responses on a panel of EU countries

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http://www.cnb.cz/en/research/research_publications/cnb_wp/2017/cnbwp_2017_13.html

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Praha: Czech National Bank, Economic Research Department, December 2017

Published in: Česká Národní Banka: Working paper series ; 2017,00013
Hizmeri, Rodrigo [Author]; Izzeldin, Marwan [Author]; Nolte, Ingmar [Author]; Pappas, Vasileios [Author]

A generalized heterogeneous autoregressive model using market information

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https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2076606

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2022

Published in: Quantitative finance ; 22(2022), 8, Seite 1513-1534
Motegi, Kaiji [Author] ; Cai, Xiaojing [Other]; Hamori, Shigeyuki [Other]; Xu, Haifeng [Other]

Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models

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[S.l.]: SSRN, [2020]
Motegi, Kaiji [Author] ; Hamori, Shigeyuki [Other]

Vector Moving Average Threshold Heterogeneous Autoregressive (VMAT-HAR) Model

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[S.l.]: SSRN, [2020]
Hizmeri, Rodrigo [Author] ; Izzeldin, Marwan [Other]; Nolte, Ingmar [Other]; Pappas, Vasileios [Other]

A Generalized Heterogeneous Autoregressive Model using the Market Index

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https://ssrn.com/abstract=3496804

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[S.l.]: SSRN, [2019]

Published in: Quantitative Finance (forthocoming)
Cubadda, Gianluca [Author] ; Guardabascio, Barbara [Other]; Hecq, Alain [Other]

A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures

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[S.l.]: SSRN, [2016]

Published in: CEIS Working Paper ; No. 391
Kuck, Konstantin [Author] ; Maderitsch, Robert [Other]

The Quantile-Heterogeneous Autoregressive Model of Realized Volatility : New Evidence from Commodity Markets

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https://ssrn.com/abstract=3126393

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[S.l.]: SSRN, [2018]
Hwang, Eunju [Author] ; Shin, Dong Wan [Other]

A CUSUMSQ Test for Structural Breaks in Error Variance for a Long Memory Heterogeneous Autoregressive Model

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https://ssrn.com/abstract=2430061

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[S.l.]: SSRN, [2014]

Published in: GCCR Working Paper Series 14-4
Baruník, Jozef [Author]; Čech, František [Author]

On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model

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http://hdl.handle.net/10419/120438

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Prague: Charles University in Prague, Institute of Economic Studies (IES), 2014
McAleer, Michael [Other]; Medeiros, Marcelo C. [Other]

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

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http://hdl.handle.net/10419/176027

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Rio de Janeiro: Dep. de Economía, PUC-RIO, Apr. 2007

Published in: Pontifícia Universidade Católica do Rio de Janeiro: Texto para discussão ; 544

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