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Return-volatility relationship : insights from linear and non-linear quantile regression
Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009724826
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, Geert; Koopman, Siem Jan - 2012
Persistent link: https://www.econbiz.de/10009722706
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
Persistent link: https://www.econbiz.de/10003645197
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
Persistent link: https://www.econbiz.de/10003645204
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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003787160
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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
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Estimating persistence in the volatility of asset returns with signal plus noise models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963304
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Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003813787
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Long-term price overreactions : are markets inefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520828