Similar Search Results

Forecasting volatility with Copula-based time series models

Sokolinskiy, Oleg; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720755

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011

Persistent link: https://www.econbiz.de/10009720782

Stationarity and ergodicity of univariate generalized autoregressive score processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012

Persistent link: https://www.econbiz.de/10009722625

Predicting time-varying parameters with parameter-driven and observation-driven models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

Persistent link: https://www.econbiz.de/10009722696

Fast efficient importance sampling by state space methods

Koopman, Siem Jan; Nguyen, Thuy Minh - 2012

Persistent link: https://www.econbiz.de/10009722707

A forty year assessment of forecasting the boat race

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722947

Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10009722969

Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support

Diks, Cees G. H.; Panchenko, Valentyn; Sokolinskiy, Oleg; … - 2013

Persistent link: https://www.econbiz.de/10009756306

Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Persistent link: https://www.econbiz.de/10009756308

Time varying transition probabilities for Markov regime switching models

Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; … - 2014

We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time varying probability is generated by the score of the...

Persistent link: https://www.econbiz.de/10010362974