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person:"Kapetanios, George"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Gil-Alaña, Luis A."
~person:"Gupta, Rangan"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
~person:"Sucarrat, Genaro"
~subject:"State space model"
~subject:"USA"
~subject:"Volatility"
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Kapetanios, George
Gil-Alaña, Luis A.
Gupta, Rangan
Koopman, Siem Jan
Maravall Herrero, Agustín
Sucarrat, Genaro
Franses, Philip Hans
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
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2
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
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Tracking the business cycle of the Euro area : a multivariate model-based bandpass filter
Azevedo, João Valle e
;
Koopman, Siem Jan
;
Rua, António
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
3
,
pp. 278-290
Persistent link: https://www.econbiz.de/10003349341
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