Narrow search
Showing 1 - 10 of 11
Cover Image
Have exchange rates become more closely tied? : Evidence from a new multivariate GARCH model
Klaassen, Franc - 1999
Persistent link: https://www.econbiz.de/10000168325
Cover Image
A statistical model of the global carbon budget
Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - 2020
Persistent link: https://www.econbiz.de/10012433959
Cover Image
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
Cover Image
Level shifts in volatility and the implied-realized volatility relation
Christensen, Bent Jesper; Santucci de Magistris, Paolo - 2010
Persistent link: https://www.econbiz.de/10008651637
Cover Image
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2015
Persistent link: https://www.econbiz.de/10011343494
Cover Image
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
Cover Image
Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan; Durbin, James - 1998
Persistent link: https://www.econbiz.de/10000981433
Cover Image
Improving GARCH volatility forecasts
Klaassen, Franc - 1998
Persistent link: https://www.econbiz.de/10000986444
Cover Image
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper; Kjær, Mads Markvart; … - 2021 - This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Cover Image
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2017
Persistent link: https://www.econbiz.de/10011706192