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Results 41-50 of 57.
Year of PublicationTitleAuthor(s)
2015Generalized Autoregressive Method of MomentsCreal, Drew; Koopman, Siem Jan; Lucas, André; Zamojski, Marcin
2015Intraday Stock Price Dependence using Dynamic Discrete Copula DistributionsKoopman, Siem Jan; Lit, Rutger; Lucas, André
2014A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro AreaMesters, Geert; Schwaab, Bernd; Koopman, Siem Jan
2014Information Theoretic Optimality of Observation Driven Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2014Testing for Parameter Instability in Competing Modeling FrameworksCalvori, Francesco; Creal, Drew; Koopman, Siem Jan; Lucas, Andre
2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor ModelsBlasques, Francisco; Koopman, Siem Jan; Mallee, Max
2012Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space ModelsBarra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, Andre
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat TailsZhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre
2011Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series ModelsMesters, Geert; Koopman, Siem Jan; Ooms, Marius
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia