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Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - In: Econometric reviews 43 (2024) 8, pp. 638-670
Persistent link: https://www.econbiz.de/10015050635
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Nonlinear autoregressive models with optimality properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - In: Econometric reviews 39 (2020) 6, pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
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A robust score-driven filter for multivariate time series
D'Innocenzo, Enzo; Luati, Alessandra; Mazzocchi, Mario - In: Econometric reviews 42 (2023) 5, pp. 441-470
Persistent link: https://www.econbiz.de/10014305555
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A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco; Lucas, André; Silde, Erkki - In: Econometric reviews 37 (2018) 1/5, pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
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Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112