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Results 1-10 of 12.
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Year of Publication
Title
Author(s)
2015
The Information in Systemic Risk Rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2014
The Dynamic Skellam Model with Applications
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
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
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
;
Lucas, André
2010
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
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
2015
Generalized Autoregressive Method of Moments
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
;
Zamojski, Marcin
2015
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
Author
4
Blasques, Francisco
2
Creal, Drew
2
Lasak, Katarzyna
2
Lit, Rutger
2
Schwaab, Bernd
1
Barra, István
1
Hoogerheide, Lennart
1
Janus, Pawel
1
Nucera, Federico
1
Zamojski, Marcin
.
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