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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

Boswijk, Herman Peter; Weide, Roy van der - 2006

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is...

Persistent link: https://www.econbiz.de/10011349722

A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical … regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model … with exogenous variables (X) that has regularity conditions and asymptotic theory would seem to be a significant extension …

Persistent link: https://www.econbiz.de/10011531101

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728