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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2015
Persistent link: https://www.econbiz.de/10010464687
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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - 2014
Persistent link: https://www.econbiz.de/10010250616
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - 2018
Persistent link: https://www.econbiz.de/10011946395
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009382620