Skip to contents

Lu, Yang [Author]; Wei, Pengyu [Author]; Xu, Mengyi [Author]

Modeling Longevity and Disability with Generalized Autoregressive Score Models

View online
Schließen

Access

Full access (via DOI)

https://ssrn.com/abstract=4282024

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[S.l.]: SSRN, 2022
Haddad, Michel Ferreira Cardia [Author]; Blazsek, Szabolcs [Author]; Arestis, Philip [Author]; Fuerst, Franz [Author]; Sheng, Hsia Hua [Author]

The two-component Beta-t-QVAR-M-lev : a new forecasting model

View online
Schließen

Access

Full access (via DOI)

https://link.springer.com/content/pdf/10.1007/s11408-023-00431-4.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2023

Published in: Financial markets and portfolio management ; 37(2023), 4 vom: Dez., Seite 379-401
Gretener, Alexander Georges [Author]; Neuenkirch, Matthias [Author]; Umlandt, Dennis [Author]

Dynamic mixture vector autoregressions with score-driven weights

View online
Schließen

Access

https://www.cesifo.org/DocDL/cesifo1_wp10366.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Munich, Germany: CESifo, April 2023

Published in: CESifo GmbH: CESifo working papers ; 10366
Gretener, Alexander Georges [Author]; Neuenkirch, Matthias [Author]; Umlandt, Dennis [Author]

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

View online
Schließen

Access

https://ssrn.com/abstract=4416795

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[S.l.]: SSRN, [2023]

Published in: CESifo Working Paper ; No. 10366
Gretener, Alexander Georges [Author]; Neuenkirch, Matthias [Author]; Umlandt, Dennis [Author]

Dynamic mixture vector autoregressions with score-driven weights

View online
Schließen

Access

https://www.uni-trier.de/fileadmin/fb4/prof/VWL/EWF/Research_Papers/2022-02.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Trier: Universität Trier, [2022]

Published in: Research papers in economics ; 2022,2
Bazzi, Marco [Author]; Blasques, Francisco [Author]; Koopman, Siem Jan [Author]; Lucas, Andre [Author]

Time Varying Transition Probabilities for Markov Regime Switching Models

View online
Schließen

Links

http://hdl.handle.net/10419/98912

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2014
Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]; Licht, Adrián [Author]

Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

View online
Schließen

Access

https://www.cambridge.org/core/services/aop-cambridge-core/content/view/7FCA181CE6FF0FC9F935DF303F902AC4/S1365100522000712a.pdf/nongaussian_scoredriven_conditionally_heteroskedastic_models_with_a_macroeconomic_application.pdf

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2024

Published in: Macroeconomic dynamics ; 28(2024), 1 vom: Jan., Seite 32-50
Cheng, Jie [Author]

Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies

View online
Schließen

Access

https://link.springer.com/content/pdf/10.1007/s00181-023-02360-7.pdf

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2023

Published in: Empirical economics ; 65(2023), 2 vom: Aug., Seite 899-924
van Os, Bram [Author]; van Dijk, Dick [Author]

Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model

View online
Schließen

Links

http://hdl.handle.net/10419/229677

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2020
Lucas, Andre [Author]; Opschoor, Anne [Author]; Schaumburg, Julia [Author]

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

View online
Schließen

Links

http://hdl.handle.net/10419/149471

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2016
Gretener, Alexander Georges [Author]; Neuenkirch, Matthias [Author]; Umlandt, Dennis [Author]

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

View online
Schließen

Links

http://hdl.handle.net/10419/272010

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Munich: Center for Economic Studies and ifo Institute (CESifo), 2023
Gretener, Alexander Georges [Author]; Neuenkirch, Matthias [Author]; Umlandt, Dennis [Author]

Dynamic mixture vector autoregressions with score-driven weights

View online
Schließen

Links

http://hdl.handle.net/10419/272353

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Trier: Universität Trier, Fachbereich IV - Volkswirtschaftslehre, 2022
Blasques, Francisco [Author]; Hol´y, Vladimír [Author]; Tomanová, Petra [Author]

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

View online
Schließen

Links

http://hdl.handle.net/10419/205294

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2019
Patton, Andrew J. [Author]; Ziegel, Johanna F. [Author]; Chen, Rui [Author]

Dynamic semiparametric models for expected shortfall (and value-at-risk)

View online
Schließen

Access

https://ssrn.com/abstract=3000465

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Durham, NC: Economic Research Initiatives @ Duke (ERID), July 11, 2017

Published in: ERID working paper ; 250
Os, Bram van [Author]; Dijk, Dick van [Author]

Accelerating peak dating in a dynamic factor Markov-switching model

View online
Schließen

Access

https://www.sciencedirect.com/science/article/pii/S0169207023000365/pdfft?md5=1fe1a6dd313c03a5201421396bba40ec&pid=1-s2.0-S0169207023000365-main.pdf

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2024

Published in: International journal of forecasting ; 40(2024), 1 vom: Jan./März, Seite 313-323
Shiferaw, Yegnanew A. [Author]

An understanding of how GDP, unemployment and inflation interact and change across time and frequency

View online
Schließen

Access

https://www.mdpi.com/2227-7099/11/5/131/pdf?version=1682434677

Full access (via DOI)

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2023

Published in: Economies ; 11(2023), 5 vom: Mai, Artikel-ID 131, Seite 1-15
Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]

Score-driven threshold ice-age models : benchmark models for long-run climate forecasts

View online
Schließen

Access

https://e-archivo.uc3m.es/bitstream/handle/10016/34757/we2205.pdf?sequence=1&isAllowed=y

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[Getafe (Spain)]: UC3M, Universidad Carlos III de Madrid, [2022]

Published in: Working paper ; 2022,5
Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]

Robust estimation and forecasting of climate change using score-driven ice-age models

View online
Schließen

Access

https://e-archivo.uc3m.es/bitstream/handle/10016/33453/we2112.pdf?sequence=3&isAllowed=y

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

[Getafe (Spain)]: UC3M, Universidad Carlos III de Madrid, [2021]

Published in: Working paper ; 2021,12
Blasques, Francisco [Author]; Koopman, Siem Jan [Author]; Lasak, Katarzyna [Author]; Lucas, André [Author]

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

View online
Schließen

Links

http://hdl.handle.net/10419/107892

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

Amsterdam and Rotterdam: Tinbergen Institute, 2015
Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]; Licht, Adrian [Author]

Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate

View online
Schließen

Access

Full access (via DOI)

https://www.cambridge.org/core/services/aop-cambridge-core/content/view/A1356C9CA70493D3A43758FE8A3300BB/S1365100521000365a.pdf/cointegration_with_scoredriven_models_an_application_to_us_real_gdp_growth_us_inflation_rate_and_effective_federal_funds_rate.pdf

Show more show less

Close

Bookmarks

You can manage bookmarks using lists, please log in to your user account for this.

2023

Published in: Macroeconomic dynamics ; 27(2023), 1 vom: Jan., Seite 203-223

You did not find what you were looking for?

Purchase suggestion
Are you missing something you need for your research? If you have any suggestions please share them here.

Interlibrary Loan
Please search and order your favorite title in the Interlibrary Loan Portal.

Search in field:

Recently searched for:

You did not find what you were looking for?

> Year of publication

Year of publication