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Results 71-80 of 109.
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Year of Publication
Title
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2003
Business and Default Cycles for Credit Risk
Koopman, Siem Jan
;
Lucas, André
2011
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel
;
Koopman, Siem Jan
;
Lucas, André
2015
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
;
Lucas, André
2015
Global Credit Risk: World, Country and Industry Factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2000
The Stochastic Volatility in Mean Model
Koopman, Siem Jan
;
Uspensky, Eugenie Hol
2023
Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression
Blasques, Francisco
;
Koopman, Siem Jan
;
Moussa, Karim
2002
Stock Index Volatility Forecasting with High Frequency Data
Hol, Eugenie
;
Koopman, Siem Jan
2018
Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
Li, Mengheng
;
Koopman, Siem Jan
2009
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.
;
Janus, Pawel
;
Koopman, Siem Jan
2015
Generalized Autoregressive Method of Moments
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
;
Zamojski, Marcin
Author
23
Blasques, Francisco
20
Lucas, André
15
Lucas, Andre
9
Gorgi, Paolo
8
Ooms, Marius
7
Creal, Drew
7
Schwaab, Bernd
6
Lit, Rutger
5
Mesters, Geert
4
Hindrayanto, Irma
.
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