Testing for parameter instability across different modeling frameworks
Year of publication: |
2017
|
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Authors: | Calvori, Francesco ; Creal, Drew ; Koopman, Siem Jan ; Lucas, André |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 2, p. 223-246
|
Subject: | credit risk | generalized autoregressive score model | observation-driven and parameter-driven models | regime switching | structural breaks | time-varying parameters | Strukturbruch | Structural break | Kreditrisiko | Credit risk | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory | Modellierung | Scientific modelling |
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