In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Year of publication: |
2015-02-23
|
---|---|
Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lasak, Katarzyna ; Lucas, André |
Institutions: | Tinbergen Instituut |
Subject: | autoregressive conditional duration | delta-method | generalized autoregressive conditional heteroskedasticity | score driven models | time-varying mean |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 15-027/III |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; c58 |
Source: |
-
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco, (2015)
-
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco, (2015)
-
Blasques, Francisco, (2016)
- More ...
-
Blasques, Francisco, (2014)
-
Information Theoretic Optimality of Observation driven Time Series Models
Blasques, Francisco, (2014)
-
Optimal Formulations for Nonlinear Autoregressive Processes
Blasques, Francisco, (2014)
- More ...