Testing for parameter instability across different modeling frameworks
Francesco Calvori, Drew Creal, Siem Jan Koopman and André Lucas
| Year of publication: |
2017
|
|---|---|
| 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 | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011987424