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Modeling Dynamic Volatilities...
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Koopman, Siem Jan
29
Zhang, Xin
15
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9
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8
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of econometrics
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Journal of applied econometrics
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Journal of empirical finance
3
Journal of the American Statistical Association : JASA
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Butterworths journal of international banking and financial law
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GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
28
(
2013
)
5
,
pp. 777-795
Persistent link: https://www.econbiz.de/10010158172
Saved in:
2
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-12
Persistent link: https://www.econbiz.de/10008899335
Saved in:
3
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
- In:
Journal of applied econometrics
25
(
2010
)
4
,
pp. 695-720
Persistent link: https://www.econbiz.de/10008412208
Saved in:
4
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-11
Persistent link: https://www.econbiz.de/10008237918
Saved in:
5
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Jan Koopman, Siem
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-564
Persistent link: https://www.econbiz.de/10009796513
Saved in:
6
Credit constraints and decisions in exports : theory under asymmetric information
Zhang, Xin
- In:
Journal of mathematical finance
2
(
2012
)
3
,
pp. 238-242
Persistent link: https://www.econbiz.de/10010097960
Saved in:
7
A Survey of Sequential Monte Carlo Methods for Economics and Finance
Creal, Drew
- In:
Econometric reviews
31
(
2012
)
3
,
pp. 245-297
Persistent link: https://www.econbiz.de/10009986252
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8
The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics
Oh, Kum Hwa
;
Zivot, Eric
;
Creal, Drew
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 207-220
Persistent link: https://www.econbiz.de/10008898224
Saved in:
9
The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics
Oh, Kum Hwa
;
Zivot, Eric
;
Creal, Drew
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 207-219
Persistent link: https://www.econbiz.de/10008135104
Saved in:
10
Classical and Bayesian aspects of robust unit root inference
Hoek, Henk
;
Lucas, Andre
;
Dijk, Herman K.van
- In:
Journal of econometrics
69
(
1995
)
1
,
pp. 27-60
Persistent link: https://www.econbiz.de/10006797935
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