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Tinbergen Institute, Amsterdam and Rotterdam
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Results 1-10 of 12.
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Title
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2018
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Gorgi, Paolo
;
Koopman, Siem Jan
;
Li, Mengheng
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
2022
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco
;
van Brummelen, Janneke
;
Gorgi, Paolo
;
Koopman, Siem Jan
2017
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
Blasques, Francisco F.
;
Gorgi, Paolo
;
Koopman, Siem Jan S.J.
2021
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Gorgi, Paolo
;
Koopman, Siem Jan
;
Schaumburg, Julia
2018
Missing Observations in Observation-Driven Time Series Models
Blasques, Francisco
;
Gorgi, Paolo
;
Koopman, Siem Jan
2018
DSGE Models with Observation-Driven Time-Varying parameters
Angelini, Giovanni
;
Gorgi, Paolo
2024
A robust Beveridge-Nelson decomposition using a score-driven approach with an application
Blasques, Francisco
;
van Brummelen, Janneke
;
Gorgi, Paolo
;
Koopman, Siem Jan
2023
Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
Armillotta, Mirko
;
Gorgi, Paolo
2020
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
Author
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Koopman, Siem Jan
5
Blasques, Francisco
2
van Brummelen, Janneke
2
Wintenberger, Olivier
1
Angelini, Giovanni
1
Armillotta, Mirko
1
Blasques, Francisco F.
1
Koopman, Siem Jan S.J.
1
Li, Mengheng
1
Lit, Rutger
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