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Tinbergen Institute, Amsterdam and Rotterdam
Tinbergen Institute Discussion Papers
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Year of Publication
Title
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2014
Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, and André
2012
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2015
A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"
Blasques, Francisco
;
Gorgi, Paolo
;
Koopman, Siem Jan
;
Wintenberger, Olivier
2015
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
;
Lucas, André
2014
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2015
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
;
Lucas, André
2014
Information Theoretic Optimality of Observation Driven Time Series Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
2014
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max
2014
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
;
Schaumburg, Julia
2014
Time Varying Transition Probabilities for Markov Regime Switching Models
Bazzi, Marco
;
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
Author
4
Lucas, Andre
4
Lucas, André
2
Gorgi, Paolo
2
Lasak, Katarzyna
2
Wintenberger, Olivier
1
Bazzi, Marco
1
Lucas, and André
1
Mallee, Max
1
Schaumburg, Julia
year of Publication
1
2016
3
2015
7
2014
1
2012