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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
Persistent link: https://www.econbiz.de/10003973316
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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
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
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Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008809882
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Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007
Persistent link: https://www.econbiz.de/10003609242
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Signaling quality through prices in an oligopoly
Janssen, Maarten C. W.; Roy, Santanu - 2007
Persistent link: https://www.econbiz.de/10003609432
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On mergers in consumer search markets
Janssen, Maarten C. W.; Moraga-González, José Luis - 2007
Persistent link: https://www.econbiz.de/10003609572
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Simultaneous pooled auctions with multiple bids and preference lists
Janssen, Maarten C. W.; Karamychev, Vladimir A.; … - 2008
Persistent link: https://www.econbiz.de/10003705984
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Seasonality with trend and cycle interactions in unobserved components models
Koopman, Siem Jan; Lee, Kai Ming - 2008
Persistent link: https://www.econbiz.de/10003706010
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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