Testing for Parameter Instability in Competing Modeling Frameworks
Year of publication: |
2014-01-14
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Authors: | Calvori, Francesco ; Creal, Drew ; Koopman, Siem Jan ; Lucas, Andre |
Institutions: | Tinbergen Instituut |
Subject: | time-varying parameters | observation driven models | parameter driven models | structural breaks | generalized autoregressive score model | regime switching | credit risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 14-010/IV/DSF71 |
Classification: | C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing ; C22 - Time-Series Models |
Source: |
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Testing for parameter instability in competing modeling frameworks
Calvori, Francesco, (2014)
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Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco, (2014)
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Testing for parameter instability across different modeling frameworks
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Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Creal, Drew, (2011)
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Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Zhang, Xin, (2011)
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Testing for Parameter Instability in Competing Modeling Frameworks
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