Narrow search
Showing 1 - 4 of 4
Cover Image
Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
Cover Image
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Cover Image
Nonlinear autoregressive models with optimality properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - In: Econometric reviews 39 (2020) 6, pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Cover Image
Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - In: Econometric reviews 43 (2024) 8, pp. 638-670
Persistent link: https://www.econbiz.de/10015050635