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Transformed polynomials for nonlinear autoregressive models of the conditional mean

Blasques, Francisco - 2012

Persistent link: https://www.econbiz.de/10009724335

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Continuous-time modelling with spatial dependence

Oud, Johannes H. L.; Folmer, Henk; Patuelli, Roberto; … - 2011

Persistent link: https://www.econbiz.de/10009720763

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011

Persistent link: https://www.econbiz.de/10009720782

Stationarity and ergodicity of univariate generalized autoregressive score processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012

Persistent link: https://www.econbiz.de/10009722625

Predicting time-varying parameters with parameter-driven and observation-driven models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

Persistent link: https://www.econbiz.de/10009722696

Fast efficient importance sampling by state space methods

Koopman, Siem Jan; Nguyen, Thuy Minh - 2012

Persistent link: https://www.econbiz.de/10009722707

A forty year assessment of forecasting the boat race

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722947

Optimal growth, coordination and sustainability in the spatial economy

Bergh, Jeroen C. J. M. van den; Nijkamp, Peter - 1997

in an a-spatial context. Traditional neoclassical growth theory following Solow/Swan has mainly addressed questions about …

Persistent link: https://www.econbiz.de/10010361656

Time varying transition probabilities for Markov regime switching models

Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; … - 2014

We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time varying probability is generated by the score of the...

Persistent link: https://www.econbiz.de/10010362974