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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Lucas, André"
~subject:"ARCH model"
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
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In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
. They are applicable to the complete class of observation driven models and are valid for a wide range of
estimation
…
Persistent link: https://www.econbiz.de/10010484891
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