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

Modeling Longevity and Disability with Generalized Autoregressive Score Models

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[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

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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

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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

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[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

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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

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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

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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

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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

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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

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

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

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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

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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

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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)

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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

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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

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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

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[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

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[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

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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

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2023

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

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