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Have exchange rates become more closely tied? : Evidence from a new multivariate GARCH model

Klaassen, Franc - 1999

Persistent link: https://www.econbiz.de/10000168325

A statistical model of the global carbon budget

Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - 2020

Persistent link: https://www.econbiz.de/10012433959

Statistical algorithms for models in state space using SsfPack 2.2

Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - 1998

Persistent link: https://www.econbiz.de/10000167948

Fast filtering and smoothing for multivariate state space models

Koopman, Siem Jan; Durbin, James - 1998

Persistent link: https://www.econbiz.de/10000981433

Improving GARCH volatility forecasts

Klaassen, Franc - 1998

Persistent link: https://www.econbiz.de/10000986444

Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives

Durbin, James; Koopman, Siem Jan - 1998

Persistent link: https://www.econbiz.de/10000998337

Explaining asset prices with low risk aversion and low intertemporal substitution

Andreasen, Martin Møller; Jørgensen, Kasper - 2016

Persistent link: https://www.econbiz.de/10011474816

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

Persistent link: https://www.econbiz.de/10012063987

Explaining bond return predictability in an estimated New Keynesian model

Andreasen, Martin Møller - 2019

Persistent link: https://www.econbiz.de/10012063989

Robust Bayesian inference in proxy SVARs

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2019

We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the impulse responses or forecast error variance decompositions of interest are set-identified using external instruments (or 'proxy SVARs'). Existing Bayesian approaches to inference in proxy...

Persistent link: https://www.econbiz.de/10012033053