Narrow search
Showing 61 - 70 of 160
Cover Image
Improved forecasting with leading indicators : the principal covariate index
Heij, Christiaan (contributor); Dijk, Dick van (contributor) - 2007
Persistent link: https://www.econbiz.de/10003484195
Cover Image
A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428263
Cover Image
Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428295
Cover Image
Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428302
Cover Image
An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008857052
Cover Image
Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008
Persistent link: https://www.econbiz.de/10003706020
Cover Image
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
Exterkate, Peter; Dijk, Dick van; Heij, Christiaan; … - 2010
Persistent link: https://www.econbiz.de/10003987315
Cover Image
Estimating persistence in the volatility of asset returns with signal plus noise models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963304
Cover Image
Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003813787
Cover Image
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
Persistent link: https://www.econbiz.de/10011431503