Dynamic discrete copula models for high‐frequency stock price changes
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DOI: 10.1002/jae.2645
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- Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris, 2019. "Dynamic discrete mixtures for high frequency prices," Discussion Papers 19/05, University of Nottingham, Granger Centre for Time Series Econometrics.
- Eric A. Beutner & Yicong Lin & Andre Lucas, 2023. "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers 23-051/III, Tinbergen Institute.
- Algaba, Andres & Borms, Samuel & Boudt, Kris & Verbeken, Brecht, 2023.
"Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 266-278.
- Andres Algaba & Samuel Borms & Kris Boudt & Brecht Verbeken, 2021. "Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence," Working Paper Research 396, National Bank of Belgium.
- Alanya-Beltran Willy, 2023. "Modelling volatility dependence with score copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(5), pages 649-668, December.
- Blasques, F. & Gorgi, P. & Koopman, S.J., 2021.
"Missing observations in observation-driven time series models,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 542-568.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018. "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers 18-013/III, Tinbergen Institute.
- Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022.
"Maximum likelihood estimation for score-driven models,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 325-346.
- Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Maximum Likelihood Estimation for Score-Driven Models," Tinbergen Institute Discussion Papers 14-029/III, Tinbergen Institute, revised 23 Oct 2017.
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