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2022 Journal Article On deep-fake stock prices and why investor behavior might not matterVâlsan, Călin, Druică, Elena and Eisenstat, Eric (2022). On deep-fake stock prices and why investor behavior might not matter. Algorithms, 15 (12) 475, 1-19. doi: 10.3390/a15120475 |
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2022 Journal Article Choosing between identification schemes in noisy-news modelsChan, Joshua C. C., Eisenstat, Eric and Koop, Gary (2022). Choosing between identification schemes in noisy-news models. Studies in Nonlinear Dynamics and Econometrics, 26 (1), 99-136. doi: 10.1515/snde-2020-0016 |
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2020 Journal Article Composite likelihood methods for large Bayesian VARs with stochastic volatilityChan, Joshua C. C., Eisenstat, Eric, Hou, Chenghan and Koop, Gary (2020). Composite likelihood methods for large Bayesian VARs with stochastic volatility. Journal of Applied Econometrics, 35 (6), 692-711. doi: 10.1002/jae.2793 |
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2020 Journal Article Reducing the state space dimension in a large TVP-VARChan, Joshua C.C., Eisenstat, Eric and Strachan, Rodney W. (2020). Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics, 218 (1), 105-118. doi: 10.1016/j.jeconom.2019.11.006 |
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2019 Journal Article Identifying noise shocksBenati, Luca, Chan, Joshua, Eisenstat, Eric and Koop, Gary (2019). Identifying noise shocks. Journal of Economic Dynamics and Control, 111 103780, 103780. doi: 10.1016/j.jedc.2019.103780 |
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2018 Journal Article Comparing hybrid time-varying parameter VARsChan, Joshua C.C. and Eisenstat, Eric (2018). Comparing hybrid time-varying parameter VARs. Economics Letters, 171, 1-5. doi: 10.1016/j.econlet.2018.06.031 |
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2018 Journal Article Bayesian model comparison for time‐varying parameter VARs with stochastic volatilityChan, Joshua C. C. and Eisenstat, Eric (2018). Bayesian model comparison for time‐varying parameter VARs with stochastic volatility. Journal of Applied Econometrics, 33 (4), 509-532. doi: 10.1002/jae.2617 |
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2017 Journal Article Efficient estimation of Bayesian VARMAs with time-varying coefficientsChan, Joshua C. C. and Eisenstat, Eric (2017). Efficient estimation of Bayesian VARMAs with time-varying coefficients. Journal of Applied Econometrics, 32 (7), 1277-1297. doi: 10.1002/jae.2576 |
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2016 Journal Article Large Bayesian VARMAsChan, Joshua C.C., Eisenstat, Eric and Koop, Gary (2016). Large Bayesian VARMAs. Journal of Econometrics, 192 (2), 374-390. doi: 10.1016/j.jeconom.2016.02.005 |
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2016 Journal Article Stochastic model specification search for time-varying parameter VARsEisenstat, Eric, Chan, Joshua C. C. and Strachan, Rodney W. (2016). Stochastic model specification search for time-varying parameter VARs. Econometric Reviews, 35 (8-10), 1-28. doi: 10.1080/07474938.2015.1092808 |
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2015 Journal Article Modelling inflation volatilityEisenstat, Eric and Strachan, Rodney W. (2015). Modelling inflation volatility. Journal of Applied Econometrics, 31 (5), 805-820. doi: 10.1002/jae.2469 |
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2015 Journal Article Marginal likelihood estimation with the cross-entropy methodChan, Joshua C. C. and Eisenstat, Eric (2015). Marginal likelihood estimation with the cross-entropy method. Econometric Reviews, 34 (3), 256-285. doi: 10.1080/07474938.2014.944474 |
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2013 Journal Article Behavioural model uncertainty in estimation of structural oligopoly modelsEisenstat, Eric (2013). Behavioural model uncertainty in estimation of structural oligopoly models. International Journal of Mathematical Modelling and Numerical Optimisation, 4 (3), 252-281. doi: 10.1504/IJMMNO.2013.056540 |
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2010 Journal Article A comment on "a review of student test properties in condition of multifactorial linear regression"Eisenstat, Eric (2010). A comment on "a review of student test properties in condition of multifactorial linear regression". Romanian Journal of Economic Forecasting, 13 (3) |
