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~person:"Koopman, Siem Jan"
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credit risk
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generalized autoregressive score model
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regime switching
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structural breaks
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time-varying parameters
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Koopman, Siem Jan
Calvori, Francesco
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Creal, Drew
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Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
2
Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
-
Tinbergen Instituut
-
2014
-local
parameter
driven
time-variation. For
parameter
driven
time variation close to the null or for infrequent structural changes, the …
Persistent link: https://www.econbiz.de/10011255854
Saved in:
3
Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
-
2014
-local
parameter
driven
time-variation. For
parameter
driven
time variation close to the null or for infrequent structural changes, the …
Persistent link: https://www.econbiz.de/10010377214
Saved in:
4
Testing for parameter instability in competing modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
-
2014
nonlocal
parameter
driven
time-variation. For
parameter
driven
time variation close to the null or for infrequent structural …
Persistent link: https://www.econbiz.de/10010229896
Saved in:
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