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Exact score for time series models in state space form
Koopman, Siem Jan; Shephard, Neil G. - 1992
Persistent link: https://www.econbiz.de/10000837992
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The modelling and seasonal adjustment of weekly observations
Harvey, Andrew C.; Koopman, Siem Jan; Riani, Marco - 1995
Persistent link: https://www.econbiz.de/10000906280
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Dynamic term structure models with score-driven time-varying parameters : estimation and forecasting
Koopman, Siem Jan; Lucas, André; Zamojski, Marcin - 2017
Persistent link: https://www.econbiz.de/10011618466