Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Year of publication: |
2012-03-06
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Authors: | Koopman, Siem Jan ; Lucas, Andre ; Scharth, Marcel |
Institutions: | Tinbergen Instituut |
Subject: | Generalised autoregressive score model | Importance sampling | Model confidence set | Nonlinear state space model | Weibull-gamma mixture |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 12-020/4 |
Classification: | C53 - Forecasting and Other Model Applications ; c58 ; C22 - Time-Series Models |
Source: |
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Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Koopman, Siem Jan, (2012)
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Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan, (2012)
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Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Koopman, Siem Jan, (2012)
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Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
Koopman, Siem Jan, (2011)
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The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Koopman, Siem Jan, (2011)
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Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan, (2010)
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