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Dynamic term structure models with score-driven time-varying parameters : estimation and forecasting
Koopman, Siem Jan; Lucas, André; Zamojski, Marcin - 2017
Persistent link: https://www.econbiz.de/10011618466
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Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
Koopman, Siem Jan; Wong, Soon Yip - In: Journal of forecasting 30 (2011) 1, pp. 147-167
Persistent link: https://www.econbiz.de/10009233911