Drew D. Creal
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Drew Creal & Siem Jan Koopman & Eric Zivot, 2010.
"Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
Mentioned in:
Working papers
- Chernov, Mikhail & Creal, Drew, 2022.
"International yield curves and currency puzzles,"
CEPR Discussion Papers
13252, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
- Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
Cited by:
- Eric McCoy, 2020. "Euro-US Dollar Exchange Rate Dynamics at the Effective Lower Bound," European Economy - Economic Briefs 055, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Mikhail Chernov & Drew Creal & Peter Hördahl, 2021.
"Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds,"
BIS Working Papers
918, Bank for International Settlements.
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew D. Creal & Peter Hördahl, 2020. "Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds," NBER Working Papers 27500, National Bureau of Economic Research, Inc.
Cited by:
- Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2022. "Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real," International Economics and Economic Policy, Springer, vol. 19(4), pages 761-781, October.
- Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
- Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
- Rathi, Sawan & Mohapatra, Sanket & Sahay, Arvind, 2022. "Central bank gold reserves and sovereign credit risk," Finance Research Letters, Elsevier, vol. 45(C).
- Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).
- Jiang, Yong & Al-Nassar, Nassar S. & Ren, Yi-Shuai & Ma, Chao-Qun & Yang, Xiao-Guang, 2024. "Tail connectedness between category-specific policy uncertainty, sovereign debt risk, and stock volatility during a high inflation period," Research in International Business and Finance, Elsevier, vol. 70(PB).
- Candelon, Bertrand & Moura, Rubens, 2021.
"A Multicountry Model of the Term Structures of Interest Rates with a GVAR,"
LIDAM Discussion Papers LFIN
2021007, Université catholique de Louvain, Louvain Finance (LFIN).
- Candelon, Bertrand & Moura, Rubens, 2024. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Reprints LFIN 2024003, Université catholique de Louvain, Louvain Finance (LFIN).
- Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
- Jassim Aladwani, 2023. "Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 531-541, July.
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Chernov, Mikhail & Creal, Drew, 2018.
"Multihorizon Currency Returns and Purchasing Power Parity,"
CEPR Discussion Papers
12893, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Drew D. Creal, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers 24563, National Bureau of Economic Research, Inc.
Cited by:
- Bacchetta, Philippe & van Wincoop, Eric, 2021.
"Puzzling exchange rate dynamics and delayed portfolio adjustment,"
Journal of International Economics, Elsevier, vol. 131(C).
- Bacchetta, Philippe & van Wincoop, Eric, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," CEPR Discussion Papers 13839, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," Swiss Finance Institute Research Paper Series 19-35, Swiss Finance Institute.
- Philippe Bacchetta & Eric van Wincoop, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," NBER Working Papers 26259, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2018. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," 2018 Meeting Papers 675, Society for Economic Dynamics.
- Drew D. Creal & Jing Cynthia Wu, 2016.
"Bond Risk Premia in Consumption-based Models,"
NBER Working Papers
22183, National Bureau of Economic Research, Inc.
- Drew D. Creal & Jing Cynthia Wu, 2020. "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
Cited by:
- Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021.
"Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective,"
Working papers
844, Banque de France.
- Mouabbi, Sarah & Renne, Jean-Paul & Sahuc, Jean-Guillaume, 2024. "Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Kliem, Martin & Meyer-Gohde, Alexander, 2017.
"(Un)expected Monetary Policy Shocks and Term Premia,"
SFB 649 Discussion Papers
2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
- Martin Kliem & Alexander Meyer-Gohde, 2018. "(Un)expected Monetary Policy Shocks and Term Premia," 2018 Meeting Papers 102, Society for Economic Dynamics.
- Kliem, Martin & Meyer-Gohde, Alexander, 2019. "(Un)expected monetary policy shocks and term premia," IMFS Working Paper Series 137, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
- Dongho Song, 2016.
"Bond Market Exposures to Macroeconomic and Monetary Policy Risks,"
Boston College Working Papers in Economics
915, Boston College Department of Economics, revised 19 Jul 2016.
- Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014.
"Bond Return Predictability: Economic Value and Links to the Macroeconomy,"
Working Papers
75, Brandeis University, Department of Economics and International Business School.
- Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
- Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
- Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023.
"Pockets of Predictability,"
Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
- Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
- Chunya Bu & John Rogers & Wenbin Wu, 2019.
"A Unified Measure of Fed Monetary Policy Shocks,"
Finance and Economics Discussion Series
2019-043, Board of Governors of the Federal Reserve System (U.S.).
- Bu, Chunya & Rogers, John & Wu, Wenbin, 2021. "A unified measure of Fed monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
- Etienne Vaccaro-Grange, 2019.
"Quantitative Easing and the Term Premium as a Monetary Policy Instrument,"
Working Papers
halshs-02359503, HAL.
- Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
- Stachurski, John & Wilms, Ole & Zhang, Junnan, 2024. "Asset pricing with time preference shocks: Existence and uniqueness," Other publications TiSEM 29da00af-3cca-4717-aa55-a, Tilburg University, School of Economics and Management.
- Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
- Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
- Granziera, Eleonora & Sihvonen, Markus, 2020.
"Bonds, currencies and expectational errors,"
Bank of Finland Research Discussion Papers
7/2020, Bank of Finland.
- Granziera, Eleonora & Sihvonen, Markus, 2020. "Bonds, currencies and expectational errors," Working Paper 2020/3, Norges Bank.
- Granziera, Eleonora & Sihvonen, Markus, 2024. "Bonds, currencies and expectational errors," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
- Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
- Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
- Stachurski, John & Wilms, Ole & Zhang, Junnan, 2024. "Asset pricing with time preference shocks: Existence and uniqueness," Journal of Economic Theory, Elsevier, vol. 216(C).
- Enoch Cheng & Clemens C. Struck, 2019. "Time-Series Momentum: A Monte-Carlo Approach," Working Papers 201906, School of Economics, University College Dublin.
- Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
- Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
- Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015.
"Generalized Autoregressive Method of Moments,"
Tinbergen Institute Discussion Papers
15-138/III, Tinbergen Institute, revised 06 Jul 2018.
Cited by:
- Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021.
"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
- Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
- Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019.
"Dynamic semiparametric models for expected shortfall (and Value-at-Risk),"
Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
- Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
- Andre Lucas & Anne Opschoor & Julia Schaumburg, 2016.
"Accounting for Missing Values in Score-Driven Time-Varying Parameter Models,"
Tinbergen Institute Discussion Papers
16-067/IV, Tinbergen Institute.
- Lucas, André & Opschoor, Anne & Schaumburg, Julia, 2016. "Accounting for missing values in score-driven time-varying parameter models," Economics Letters, Elsevier, vol. 148(C), pages 96-98.
- Liyuan Cui & Guanhao Feng & Yongmiao Hong, 2024. "Regularized Gmm For Time‐Varying Models With Applications To Asset Pricing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(2), pages 851-883, May.
- Blasques, Francisco & Lucas, André & van Vlodrop, Andries C., 2021. "Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence," Econometrics and Statistics, Elsevier, vol. 19(C), pages 47-57.
- Lilis Yuaningsih & R. Adjeng Mariana Febrianti & Hafiz Waqas Kamran, 2020. "Reducing CO2 Emissions through Biogas, Wind and Solar Energy Production: Evidence from Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 684-689.
- Francisco Blasques & Noah Stegehuis, 2024. "A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors," Tinbergen Institute Discussion Papers 24-016/III, Tinbergen Institute.
- Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021.
"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
- Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014.
"Testing for Parameter Instability in Competing Modeling Frameworks,"
Tinbergen Institute Discussion Papers
14-010/IV/DSF71, Tinbergen Institute.
Cited by:
- Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.
- Andrew Harvey & Stephen Thiele, 2014.
"Testing against Changing Correlation,"
Cambridge Working Papers in Economics
1439, Faculty of Economics, University of Cambridge.
- Harvey, Andrew & Thiele, Stephen, 2016. "Testing against changing correlation," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 575-589.
- Drew D. Creal & Jing Cynthia Wu, 2014.
"Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility,"
NBER Working Papers
20115, National Bureau of Economic Research, Inc.
- Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
Cited by:
- Drew D. Creal & Jing Cynthia Wu, 2020.
"Bond risk premia in consumption‐based models,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
- Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
Working Papers
2015_08, Business School - Economics, University of Glasgow.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- Jing Cynthia Wu & Fan Dora Xia, 2014.
"Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound,"
NBER Working Papers
20117, National Bureau of Economic Research, Inc.
- Jing Cynthia Wu & Fan Dora Xia, 2016. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 253-291, March.
- Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014.
"No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates,"
CEPR Discussion Papers
9848, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021. "No‐arbitrage priors, drifting volatilities, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," Working Papers 20-27, Federal Reserve Bank of Cleveland.
- Hlouskova, Jaroslava & Sögner, Leopold, 2015.
"GMM Estimation of Affine Term Structure Models,"
Economics Series
315, Institute for Advanced Studies.
- Hlouskova, Jaroslava & Sögner, Leopold, 2020. "GMM estimation of affine term structure models," Econometrics and Statistics, Elsevier, vol. 13(C), pages 2-15.
- Jaroslava Hlouskova & Leopold Sogner, 2015. "GMM Estimation of Affine Term Structure Models," Papers 1508.01661, arXiv.org.
- Drew D. Creal & Jing Cynthia Wu, 2017.
"Monetary Policy Uncertainty And Economic Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1317-1354, November.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Monetary Policy Uncertainty and Economic Fluctuations," NBER Working Papers 20594, National Bureau of Economic Research, Inc.
- Yan Liu & Jing Cynthia Wu, 2020.
"Reconstructing the Yield Curve,"
NBER Working Papers
27266, National Bureau of Economic Research, Inc.
- Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
- Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023. "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, vol. 150(3).
- Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
- Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022.
"Tractable Term Structure Models,"
Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
- Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015. "Tractable Term Structure Models," Staff Working Papers 15-46, Bank of Canada.
- Michael D. Bauer, 2015.
"Restrictions on Risk Prices in Dynamic Term Structure Models,"
CESifo Working Paper Series
5241, CESifo.
- Michael D. Bauer, 2011. "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
- Michael D. Bauer, 2018. "Restrictions on Risk Prices in Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 196-211, April.
- Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2020.
"Forecasting output growth using a DSGE-based decomposition of the South African yield curve,"
Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
- Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2015. "Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve," Working Papers 201567, University of Pretoria, Department of Economics.
- Dora Xia & Jing Cynthia Wu, 2018.
"The negative interest rate policy and the yield curve,"
BIS Working Papers
703, Bank for International Settlements.
- Jing Cynthia Wu & Fan Dora Xia, 2020. "Negative interest rate policy and the yield curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
- Jing Cynthia Wu & Fan Dora Xia, 2018. "Negative Interest Rate Policy and the Yield Curve," NBER Working Papers 25180, National Bureau of Economic Research, Inc.
- Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
- Stefano Giglio & Bryan Kelly, 2016.
"Excess Volatility: Beyond Discount Rates,"
NBER Working Papers
22045, National Bureau of Economic Research, Inc.
- Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017.
"Staying at zero with affine processes : an application to term structure modelling,"
Rue de la Banque, Banque de France, issue 52, november.
- Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
- A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.
- Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2024. "Modeling volatility in dynamic term structure models," Journal of Financial Economics, Elsevier, vol. 161(C).
- Fang, Dong-Jie & Yeh, Zong-Wei & He, Jie-Cao & Lin, Shih-Kuei, 2024. "What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
- Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2024. "Maximum likelihood estimation of latent Markov models using closed-form approximations," Journal of Econometrics, Elsevier, vol. 240(2).
- Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
- Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
- Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
- Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
- Gordon H. Dash & Nina Kajiji & Domenic Vonella, 2018. "The role of supervised learning in the decision process to fair trade US municipal debt," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 139-168, June.
- Peter Feldhütter, 2016. "Can Affine Models Match the Moments in Bond Yields?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-56, June.
- Gideon Magnus, 2016. "A plausible model of yield curve dynamics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 205-228, May.
- Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2016.
"Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting,"
Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 379-398, October.
- Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2014. "An Evolving Fuzzy-Garch Approach Forfinancial Volatility Modeling And Forecasting," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Drew D. Creal & Jing Cynthia Wu, 2014.
"Monetary Policy Uncertainty and Economic Fluctuations,"
NBER Working Papers
20594, National Bureau of Economic Research, Inc.
- Drew D. Creal & Jing Cynthia Wu, 2017. "Monetary Policy Uncertainty And Economic Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1317-1354, November.
Cited by:
- Stéphane Lhuissier & Fabien Tripier, 2019.
"Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation,"
Working papers
714, Banque de France.
- Stéphane Lhuissier & Fabien Tripier, 2021. "Regime‐dependent effects of uncertainty shocks: A structural interpretation," Quantitative Economics, Econometric Society, vol. 12(4), pages 1139-1170, November.
- Angelo Marsiglia Fasolo, 2018.
"Monetary Policy Volatility Shocks in Brazil,"
Working Papers Series
480, Central Bank of Brazil, Research Department.
- Fasolo, Angelo Marsiglia, 2019. "Monetary policy volatility shocks in Brazil," Economic Modelling, Elsevier, vol. 81(C), pages 348-360.
- Kliem, Martin & Meyer-Gohde, Alexander, 2017.
"(Un)expected Monetary Policy Shocks and Term Premia,"
SFB 649 Discussion Papers
2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
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- Georgios Moratis & Plutarchos Sakellaris, 2017. "Measuring the systemic importance of banks," Working Papers 240, Bank of Greece.
- Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
- Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers 2015-78, Scottish Institute for Research in Economics (SIRE).
- Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014.
"Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models,"
Tinbergen Institute Discussion Papers
14-107/III, Tinbergen Institute.
- Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014. "Spillover dynamics for systemic risk measurement using spatial financial time series models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100632, Verein für Socialpolitik / German Economic Association.
- Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, vol. 195(2), pages 211-223.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2017. "Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting," Tinbergen Institute Discussion Papers 17-059/III, Tinbergen Institute.
- Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
- Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021. "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, vol. 37(2), pages 569-586.
- Blasques, F. & Gorgi, P. & Koopman, S.J., 2019. "Accelerating score-driven time series models," Journal of Econometrics, Elsevier, vol. 212(2), pages 359-376.
- James Wolter, 2013. "Separating the impact of macroeconomic variables and global frailty in event data," Economics Series Working Papers 667, University of Oxford, Department of Economics.
- Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2014. "Nowcasting and forecasting global financial sector stress and credit market dislocation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 741-758.
- Gorgi, Paolo & Koopman, Siem Jan & Li, Mengheng, 2019.
"Forecasting economic time series using score-driven dynamic models with mixed-data sampling,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1735-1747.
- Paolo Gorgi & Siem Jan (S.J.) Koopman & Mengheng Li, 2018. "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," Tinbergen Institute Discussion Papers 18-026/III, Tinbergen Institute.
- Blasques, Francisco & Ji, Jiangyu & Lucas, André, 2016. "Semiparametric score driven volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 58-69.
- Kun Liang & Cuiqing Jiang & Zhangxi Lin & Weihong Ning & Zelin Jia, 2017. "The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital," Electronic Commerce Research, Springer, vol. 17(1), pages 133-147, March.
- Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
- Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2016. "Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 40(3), pages 235-262, September.
- Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
- Andre Lucas & Anne Opschoor, 2016. "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers 16-069/IV, Tinbergen Institute, revised 07 Jul 2017.
- Caterina Mendicino, 2014. "House prices and expectations," Research Bulletin, European Central Bank, vol. 21, pages 12-15.
- Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
- Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012.
"Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models,"
Tinbergen Institute Discussion Papers
12-020/4, Tinbergen Institute.
- Siem Jan Koopman & André Lucas & Marcel Scharth, 2016. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
- Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
- André Lucas & Xin Zhang, 2014.
"Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting,"
Tinbergen Institute Discussion Papers
14-092/IV/DSF77, Tinbergen Institute, revised 09 Sep 2015.
- Lucas, André & Zhang, Xin, 2016. "Score-driven exponentially weighted moving averages and Value-at-Risk forecasting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 293-302.
- Lucas, André & Zhang, Xin, 2015. "Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting," Working Paper Series 309, Sveriges Riksbank (Central Bank of Sweden).
- Paloma Lopez-Garcia & Filippo di Mauro, 2014. "Assessing competitiveness: initial results from the new compnet micro-based database," Research Bulletin, European Central Bank, vol. 21, pages 2-7.
- André Lucas & Julia Schaumburg & Bernd Schwaab, 2019.
"Bank Business Models at Zero Interest Rates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 542-555, July.
- Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Bank business models at zero interest rates," Working Paper Series 2084, European Central Bank.
- Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2016. "Bank Business Models at Zero Interest Rates," Tinbergen Institute Discussion Papers 16-066/IV, Tinbergen Institute.
- Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2017.
"Time-Varying Transition Probabilities for Markov Regime Switching Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 458-478, May.
- Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
- Andre Lucas & Anne Opschoor & Julia Schaumburg, 2016.
"Accounting for Missing Values in Score-Driven Time-Varying Parameter Models,"
Tinbergen Institute Discussion Papers
16-067/IV, Tinbergen Institute.
- Lucas, André & Opschoor, Anne & Schaumburg, Julia, 2016. "Accounting for missing values in score-driven time-varying parameter models," Economics Letters, Elsevier, vol. 148(C), pages 96-98.
- Babii, Andrii & Chen, Xi & Ghysels, Eric, 2019. "Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty," Journal of Econometrics, Elsevier, vol. 212(1), pages 47-77.
- Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
- Eser, Fabian & Schwaab, Bernd, 2016. "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, vol. 119(1), pages 147-167.
- Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute, revised 19 Aug 2015.
- Goldmann, Leonie & Crook, Jonathan & Calabrese, Raffaella, 2024. "A new ordinal mixed-data sampling model with an application to corporate credit rating levels," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1111-1126.
- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Information Theoretic Optimality of Observation Driven Time Series Models," Tinbergen Institute Discussion Papers 14-046/III, Tinbergen Institute.
- Mariana Arozo B. de Melo & Cristiano A. C. Fernandes & Eduardo F. L. de Melo, 2018. "Forecasting aggregate claims using score‐driven time series models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 354-374, August.
- Anne Opschoor & André Lucas, 2019. "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers 19-051/IV, Tinbergen Institute.
- Ha Nguyen, 2023. "Particle MCMC in forecasting frailty correlated default models with expert opinion," Papers 2304.11586, arXiv.org, revised Aug 2023.
- Krist'of N'emeth & D'aniel Hadh'azi, 2024. "Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout," Papers 2405.15579, arXiv.org.
- 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.
- Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop, 2017. "Finite Sample Optimality of Score-Driven Volatility Models," Tinbergen Institute Discussion Papers 17-111/III, Tinbergen Institute.
- Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
- Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2021. "Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 53-66, January.
- Zhang, Xuan & Kim, Minjoo & Yan, Cheng & Zhao, Yang, 2024. "Default dependence in the insurance and banking sectors: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
- Ouyang, Ruolan & Zhuang, Chengkai & Wang, Tingting & Zhang, Xuan, 2022. "Network analysis of risk transmission among energy futures: An industrial chain perspective," Energy Economics, Elsevier, vol. 107(C).
- Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
- Anisa Caja & Quentin Guibert & Frédéric Planchet, 2015. "Influence of Economic Factors on the Credit Rating Transitions and Defaults of Credit Insurance Business," Working Papers hal-01178812, HAL.
- Blasques, Francisco & Lucas, André & van Vlodrop, Andries C., 2021. "Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence," Econometrics and Statistics, Elsevier, vol. 19(C), pages 47-57.
- Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2022. "Implicit score-driven filters for time-varying parameter models," Tinbergen Institute Discussion Papers 22-066/III, Tinbergen Institute, revised 21 Nov 2024.
- Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020.
"A Robust Score-Driven Filter for Multivariate Time Series,"
Papers
2009.01517, arXiv.org, revised Aug 2022.
- Enzo D’Innocenzo & Alessandra Luati & Mario Mazzocchi, 2023. "A robust score-driven filter for multivariate time series," Econometric Reviews, Taylor & Francis Journals, vol. 42(5), pages 441-470, May.
- Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
- Ouyang, Ruolan & Zhang, Xuan, 2020. "Financialization of agricultural commodities: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 381-389.
- Wang, Fa, 2022. "Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions," Journal of Econometrics, Elsevier, vol. 229(1), pages 180-200.
- Paul Labonne, 2020. "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers 2012.02601, arXiv.org, revised May 2024.
- Sebastian Schmidt, 2014. "Dealing with a liquidity trap when government debt matters," Research Bulletin, European Central Bank, vol. 21, pages 8-11.
- Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
- Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
- Ha Nguyen, 2023. "Particle MCMC in Forecasting Frailty-Correlated Default Models with Expert Opinion," JRFM, MDPI, vol. 16(7), pages 1-16, July.
- Hirk, Rainer & Vana, Laura & Hornik, Kurt, 2022. "A corporate credit rating model with autoregressive errors," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 224-240.
- Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011.
"Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails,"
Tinbergen Institute Discussion Papers
11-078/2/DSF22, Tinbergen Institute.
Cited by:
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019.
"Risk endogeneity at the lender/investor-of-last-resort,"
Working Paper Series
2225, European Central Bank.
- Caballero, Diego & Lucas, Andr e & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 382, Sveriges Riksbank (Central Bank of Sweden).
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
- Diego Caballero & André Lucas & Bernd Schwaab & Xin Zhang, 2019. "Risk endogeneity at the lender/investor-of-last-resort," BIS Working Papers 766, Bank for International Settlements.
- Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
- Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015.
"Modeling financial sector joint tail risk in the euro area,"
Working Paper Series
308, Sveriges Riksbank (Central Bank of Sweden).
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
- André Lucas & Bernd Schwaab & Xin Zhang, 2017. "Modeling Financial Sector Joint Tail Risk in the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
- Bernd Schwaab, 2012.
"Conditional probabilities and contagion measures for euro area sovereign default risk,"
Research Bulletin, European Central Bank, vol. 17, pages 6-11.
- Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013.
"Conditional euro area sovereign default risk,"
Working Paper Series
269, Sveriges Riksbank (Central Bank of Sweden).
- André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
- Harvey, Andrew & Sucarrat, Genaro, 2014.
"EGARCH models with fat tails, skewness and leverage,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
- Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
- Jouchi Nakajima, 2017. "Bayesian analysis of multivariate stochastic volatility with skew return distribution," Econometric Reviews, Taylor & Francis Journals, vol. 36(5), pages 546-562, May.
- Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019.
"Risk endogeneity at the lender/investor-of-last-resort,"
Working Paper Series
2225, European Central Bank.
- Drew Creal & Siem Jan Koopman & André Lucas, 2010.
"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations,"
Tinbergen Institute Discussion Papers
10-032/2, Tinbergen Institute.
- Creal, Drew & Koopman, Siem Jan & Lucas, André, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 552-563.
- Drew Creal & Siem Jan Koopman & André Lucas, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 552-563, October.
Cited by:
- Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017.
"Volatility Modeling with a Generalized t Distribution,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
- Andrew Harvey & Rutger-Jan Lange, 2015. "Volatility Modeling with a Generalized t-distribution," Cambridge Working Papers in Economics 1517, Faculty of Economics, University of Cambridge.
- Pawel Janus & Siem Jan Koopman & André Lucas, 2011.
"Long Memory Dynamics for Multivariate Dependence under Heavy Tails,"
Tinbergen Institute Discussion Papers
11-175/2/DSF28, Tinbergen Institute.
- Janus, Paweł & Koopman, Siem Jan & Lucas, André, 2014. "Long memory dynamics for multivariate dependence under heavy tails," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 187-206.
- Hafner, Christian M. & Herwartz, Helmut, 2022.
"Dynamic score driven independent component analysis,"
LIDAM Reprints ISBA
2022010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Herwartz, Helmut, 2020. "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bartels, Mariana & Ziegelmann, Flavio A., 2016. "Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 66-79.
- Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
- Guo, Dong & Zhou, Peng, 2021.
"Green bonds as hedging assets before and after COVID: A comparative study between the US and China,"
Energy Economics, Elsevier, vol. 104(C).
- Guo, Dong & Zhou, Peng, 2021. "Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China," Cardiff Economics Working Papers E2021/28, Cardiff University, Cardiff Business School, Economics Section.
- Aknouche, Abdelhakim & Francq, Christian, 2023.
"Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Aknouche, Abdelhakim & Francq, Christian, 2019. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper 97382, University Library of Munich, Germany.
- Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019.
"Sentiment-Induced Bubbles in the Cryptocurrency Market,"
JRFM, MDPI, vol. 12(2), pages 1-12, April.
- Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," LIDAM Reprints ISBA 2019053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kawakatsu Hiroyuki, 2021. "Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 33-52, January.
- Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019.
"Risk endogeneity at the lender/investor-of-last-resort,"
Working Paper Series
2225, European Central Bank.
- Caballero, Diego & Lucas, Andr e & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 382, Sveriges Riksbank (Central Bank of Sweden).
- Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
- Diego Caballero & André Lucas & Bernd Schwaab & Xin Zhang, 2019. "Risk endogeneity at the lender/investor-of-last-resort," BIS Working Papers 766, Bank for International Settlements.
- Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
- Fernanda Maria Müller & Fábio M Bayer, 2017. "Improved two-component tests in Beta-Skew-t-EGARCH models," Economics Bulletin, AccessEcon, vol. 37(4), pages 2364-2373.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019.
"Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model,"
CEPR Discussion Papers
14107, C.E.P.R. Discussion Papers.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021. "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers) 1296, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
- Zhang, Yongli & Rolling, Craig & Yang, Yuhong, 2021. "Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
- Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
- Michel Ferreira Cardia Haddad & Szabolcs Blazsek & Philip Arestis & Franz Fuerst & Hsia Hua Sheng, 2023. "The two-component Beta-t-QVAR-M-lev: a new forecasting model," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(4), pages 379-401, December.
- Tommaso Proietti & Alessandra Luati, 2013.
"Maximum likelihood estimation of time series models: the Kalman filter and beyond,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362,
Edward Elgar Publishing.
- Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 2012_02, University of Sydney Business School, Discipline of Business Analytics.
- Tommaso, Proietti & Alessandra, Luati, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," MPRA Paper 39600, University Library of Munich, Germany.
- Creal, Drew D. & Tsay, Ruey S., 2015. "High dimensional dynamic stochastic copula models," Journal of Econometrics, Elsevier, vol. 189(2), pages 335-345.
- Song, Shijia & Tian, Fei & Li, Handong, 2021. "An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution," Journal of Asian Economics, Elsevier, vol. 74(C).
- Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
- Dalhaus, Tatjana & Schaumburg, Julia & Sekhposyan, Tatevik, 2021.
"Networking the yield curve: implications for monetary policy,"
Working Paper Series
2532, European Central Bank.
- Tatjana Dahlhaus & Julia Schaumburg & Tatevik Sekhposyan, 2021. "Networking the Yield Curve: Implications for Monetary Policy," Staff Working Papers 21-4, Bank of Canada.
- Andries C. van Vlodrop & Andre (A.) Lucas, 2018. "Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models," Tinbergen Institute Discussion Papers 18-099/III, Tinbergen Institute.
- Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers 15-027/III, Tinbergen Institute, revised 07 Sep 2015.
- Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
- Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
- Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
- Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models,"
Working Papers
2023:7, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
- Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
- Creal, Drew & Koopman, Siem Jan & Lucas, André & Zamojski, Marcin, 2024. "Observation-driven filtering of time-varying parameters using moment conditions," Journal of Econometrics, Elsevier, vol. 238(2).
- Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
- Hannes Böhm & Julia Schaumburg & Lena Tonzer, 2022.
"Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(4), pages 698-734, December.
- Böhm, Hannes & Schaumburg, Julia & Tonzer, Lena, 2020. "Financial linkages and sectoral business cycle synchronisation: Evidence from Europe," IWH Discussion Papers 2/2020, Halle Institute for Economic Research (IWH).
- Hannes Boehm & Julia Schaumburg & Lena Tonzer, 2020. "Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe," Tinbergen Institute Discussion Papers 20-008/III, Tinbergen Institute.
- Ito, Ryoko, 2013. "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics 1315, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015.
"Modeling financial sector joint tail risk in the euro area,"
Working Paper Series
308, Sveriges Riksbank (Central Bank of Sweden).
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
- André Lucas & Bernd Schwaab & Xin Zhang, 2017. "Modeling Financial Sector Joint Tail Risk in the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
- Blazsek, Szabolcs & Licht, Adrian, 2019. "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics 28451, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021.
"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
- Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
- Siem Jan Koopman & Rutger Lit & André Lucas, 2015. "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers 15-037/III/DSF90, Tinbergen Institute.
- Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014.
"Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models,"
Tinbergen Institute Discussion Papers
14-107/III, Tinbergen Institute.
- Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014. "Spillover dynamics for systemic risk measurement using spatial financial time series models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100632, Verein für Socialpolitik / German Economic Association.
- Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, vol. 195(2), pages 211-223.
- Blasques, Francisco & van Brummelen, Janneke & Gorgi, Paolo & Koopman, Siem Jan, 2024. "Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions," Journal of Econometrics, Elsevier, vol. 238(1).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011.
"Financial Risk Measurement for Financial Risk Management,"
CREATES Research Papers
2011-37, Department of Economics and Business Economics, Aarhus University.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2017. "Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting," Tinbergen Institute Discussion Papers 17-059/III, Tinbergen Institute.
- Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
- Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012. "Regime switches in the volatility and correlation of financial institutions," Working Paper Research 227, National Bank of Belgium.
- Bernd Schwaab, 2012.
"Conditional probabilities and contagion measures for euro area sovereign default risk,"
Research Bulletin, European Central Bank, vol. 17, pages 6-11.
- Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
- Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023.
"Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models," Working Papers 21-21, Federal Reserve Bank of Philadelphia.
- Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021. "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, vol. 37(2), pages 569-586.
- Jiangyu Ji & Andre Lucas, 2012. "A New Semiparametric Volatility Model," Tinbergen Institute Discussion Papers 12-055/2/DSF35, Tinbergen Institute.
- Matthias Fengler & Helmut Herwartz & Christian Werner, 2010.
"A dynamic copula approach to recovering the index implied volatility skew,"
University of St. Gallen Department of Economics working paper series 2010
1132, Department of Economics, University of St. Gallen, revised Nov 2011.
- Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 457-493, June.
- Blasques, F. & Gorgi, P. & Koopman, S.J., 2019. "Accelerating score-driven time series models," Journal of Econometrics, Elsevier, vol. 212(2), pages 359-376.
- Kyriazis, Nikolaos & Papadamou, Stephanos & Corbet, Shaen, 2020. "A systematic review of the bubble dynamics of cryptocurrency prices," Research in International Business and Finance, Elsevier, vol. 54(C).
- Anna Gloria Billé & Leopoldo Catania, 2018. "Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices," BEMPS - Bozen Economics & Management Paper Series BEMPS55, Faculty of Economics and Management at the Free University of Bozen.
- Kazim Azam & Andre Lucas, 2015. "Mixed Density based Copula Likelihood," Tinbergen Institute Discussion Papers 15-003/IV/DSF084, Tinbergen Institute.
- Creal, Drew D. & Wu, Jing Cynthia, 2015.
"Estimation of affine term structure models with spanned or unspanned stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
- Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013.
"Conditional euro area sovereign default risk,"
Working Paper Series
269, Sveriges Riksbank (Central Bank of Sweden).
- André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
- Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi, 2024. "Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 375-406.
- Guizzardi, Andrea & Ballestra, Luca Vincenzo & D'Innocenzo, Enzo, 2022. "Hotel dynamic pricing, stochastic demand and covid-19," Annals of Tourism Research, Elsevier, vol. 97(C).
- Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penal," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
- Blasques, Francisco & Ji, Jiangyu & Lucas, André, 2016. "Semiparametric score driven volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 58-69.
- Blasques, Francisco & Nientker, Marc, 2023. "Stochastic properties of nonlinear locally-nonstationary filters," Journal of Econometrics, Elsevier, vol. 235(2), pages 2082-2095.
- Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2016. "Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 40(3), pages 235-262, September.
- Ruey S. Tsay & Mohsen Pourahmadi, 2017. "Modelling structured correlation matrices," Biometrika, Biometrika Trust, vol. 104(1), pages 237-242.
- Andre Lucas & Anne Opschoor, 2016. "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers 16-069/IV, Tinbergen Institute, revised 07 Jul 2017.
- Blazsek, Szabolcs & Licht, Adrian, 2019. "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics 29030, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Escribano, Alvaro & Sucarrat, Genaro, 2018.
"Equation-by-equation estimation of multivariate periodic electricity price volatility,"
Energy Economics, Elsevier, vol. 74(C), pages 287-298.
- Escribano, Alvaro & Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper 72736, University Library of Munich, Germany.
- Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2021.
"The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- Larisa Yarovaya & Roman Matkovskyy & Akanksha Jalan, 2021. "The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets," Post-Print hal-03512931, HAL.
- Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012.
"Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models,"
Tinbergen Institute Discussion Papers
12-020/4, Tinbergen Institute.
- Siem Jan Koopman & André Lucas & Marcel Scharth, 2016. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
- Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
- Michele Caivano & Andrew Harvey, 2014.
"Time-series models with an EGB2 conditional distribution,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
- Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
- M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
- Blasques, F. & Francq, Christian & Laurent, Sébastien, 2024. "Autoregressive conditional betas," Journal of Econometrics, Elsevier, vol. 238(2).
- Harvey, Andrew & Sucarrat, Genaro, 2014.
"EGARCH models with fat tails, skewness and leverage,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
- Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
- Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
- Lin Zhao & Sweder van Wijnbergen, 2015. "Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity," Tinbergen Institute Discussion Papers 15-104/VI/DSF95, Tinbergen Institute.
- Michele Caivano & Andrew Harvey, 2014.
"Two EGARCH models and one fat tail,"
Temi di discussione (Economic working papers)
954, Bank of Italy, Economic Research and International Relations Area.
- M. Caivano & A. Harvey, 2013. "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics 1326, Faculty of Economics, University of Cambridge.
- Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
- André Lucas & Xin Zhang, 2014.
"Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting,"
Tinbergen Institute Discussion Papers
14-092/IV/DSF77, Tinbergen Institute, revised 09 Sep 2015.
- Lucas, André & Zhang, Xin, 2016. "Score-driven exponentially weighted moving averages and Value-at-Risk forecasting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 293-302.
- Lucas, André & Zhang, Xin, 2015. "Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting," Working Paper Series 309, Sveriges Riksbank (Central Bank of Sweden).
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
- André Lucas & Julia Schaumburg & Bernd Schwaab, 2019.
"Bank Business Models at Zero Interest Rates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 542-555, July.
- Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Bank business models at zero interest rates," Working Paper Series 2084, European Central Bank.
- Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2016. "Bank Business Models at Zero Interest Rates," Tinbergen Institute Discussion Papers 16-066/IV, Tinbergen Institute.
- Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2017.
"Time-Varying Transition Probabilities for Markov Regime Switching Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 458-478, May.
- Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
- Galin Todorov & Prasad Bidarkota, 2014. "Time-varying financial spillovers from the US to frontier markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 246-283, September.
- Andre Lucas & Anne Opschoor & Julia Schaumburg, 2016.
"Accounting for Missing Values in Score-Driven Time-Varying Parameter Models,"
Tinbergen Institute Discussion Papers
16-067/IV, Tinbergen Institute.
- Lucas, André & Opschoor, Anne & Schaumburg, Julia, 2016. "Accounting for missing values in score-driven time-varying parameter models," Economics Letters, Elsevier, vol. 148(C), pages 96-98.
- Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
- Chong, Terence Tai Leung & Ding, Yue & Pang, Tianxiao, 2017.
"Extreme Risk Value and Dependence Structure of the China Securities Index 300,"
MPRA Paper
80556, University Library of Munich, Germany.
- Terence Tai-Leung Chong & Yue Ding & Tianxiao Pang, 2017. "Extreme Risk Value and Dependence Structure of the China Securities Index 300," Economics Bulletin, AccessEcon, vol. 37(1), pages 520-529.
- Karim M Abadir, 2023. "Explicit minimal representation of variance matrices, and its implication for dynamic volatility models," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 88-104.
- Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute, revised 19 Aug 2015.
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
- Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015.
"In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models,"
Tinbergen Institute Discussion Papers
15-083/III, Tinbergen Institute.
- Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André, 2016. "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models," International Journal of Forecasting, Elsevier, vol. 32(3), pages 875-887.
- Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers 14-074/III, Tinbergen Institute.
- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Information Theoretic Optimality of Observation Driven Time Series Models," Tinbergen Institute Discussion Papers 14-046/III, Tinbergen Institute.
- Lu, Yunzhi & Li, Jie & Yang, Haisheng, 2021. "Time-varying inter-urban housing price spillovers in China: Causes and consequences," Journal of Asian Economics, Elsevier, vol. 77(C).
- Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
- Song, Shijia & Li, Handong, 2022. "Predicting VaR for China's stock market: A score-driven model based on normal inverse Gaussian distribution," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107630024, January.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, January.
- Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop, 2017. "Finite Sample Optimality of Score-Driven Volatility Models," Tinbergen Institute Discussion Papers 17-111/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.
- Szabolcs Blazsek & Alvaro Escribano, 2022.
"Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models,"
Econometrics, MDPI, vol. 10(1), pages 1-29, February.
- Blazsek, Szabolcs, 2021. "Robust estimation and forecasting of climate change using score-driven ice-age models," UC3M Working papers. Economics 33453, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
- Roman Matkovskyy, 2019.
"Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries,"
Post-Print
hal-02332090, HAL.
- Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(3), pages 667-698, September.
- Andrew Harvey & Stephen Thiele, 2014.
"Testing against Changing Correlation,"
Cambridge Working Papers in Economics
1439, Faculty of Economics, University of Cambridge.
- Harvey, Andrew & Thiele, Stephen, 2016. "Testing against changing correlation," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 575-589.
- Andrew Harvey & Alessandra Luati, 2014.
"Filtering With Heavy Tails,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1112-1122, September.
- Harvey, A. & Luati, A., 2012. "Filtering with heavy tails," Cambridge Working Papers in Economics 1255, Faculty of Economics, University of Cambridge.
- Mohamed El Ghourabi & Asma Nani & Imed Gammoudi, 2021. "A value‐at‐risk computation based on heavy‐tailed distribution for dynamic conditional score models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2790-2799, April.
- Blasques, Francisco & Lucas, André & van Vlodrop, Andries C., 2021. "Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence," Econometrics and Statistics, Elsevier, vol. 19(C), pages 47-57.
- Lin, Min-Bin & Wang, Bingling & Bocart, Fabian Y.R.P. & Hafner, Christian M. & Härdle, Wolfgang K., 2022. "DAI Digital Art Index : a robust price index for heterogeneous digital assets," LIDAM Discussion Papers ISBA 2022036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Sergio Contreras-Espinoza & Francisco Novoa-Muñoz & Szabolcs Blazsek & Pedro Vidal & Christian Caamaño-Carrillo, 2022. "COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models," Mathematics, MDPI, vol. 11(1), pages 1-17, December.
- Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
- Bahcivan, Hulusi & Karahan, Cenk C., 2022. "High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Lin Zhao & Sweder van Wijnbergen, 2017.
"Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1759-1782, November.
- Lin Zhao & Sweder van Wijnbergen, 2014. "Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition," Tinbergen Institute Discussion Papers 14-149/VI, Tinbergen Institute.
- Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Francisco (F.) Blasques & Marc Nientker, 2017. "A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models," Tinbergen Institute Discussion Papers 17-072/III, Tinbergen Institute.
- Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020.
"A Robust Score-Driven Filter for Multivariate Time Series,"
Papers
2009.01517, arXiv.org, revised Aug 2022.
- Enzo D’Innocenzo & Alessandra Luati & Mario Mazzocchi, 2023. "A robust score-driven filter for multivariate time series," Econometric Reviews, Taylor & Francis Journals, vol. 42(5), pages 441-470, May.
- Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
- Sonia Benito Muela & Carmen López-Martín & Mª Ángeles Navarro, 2017. "The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT)," International Business Research, Canadian Center of Science and Education, vol. 10(11), pages 88-102, November.
- Caterina Schiavoni & Siem Jan Koopman & Franz Palm & Stephan Smeekes & Jan van den Brakel, 2021. "Time-varying state correlations in state space models and their estimation via indirect inference," Tinbergen Institute Discussion Papers 21-020/III, Tinbergen Institute.
- Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
- D’Innocenzo, Enzo & Lucas, Andre, 2024. "Dynamic partial correlation models," Journal of Econometrics, Elsevier, vol. 241(2).
- Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
- Bram van Os, 2023. "Information-Theoretic Time-Varying Density Modeling," Tinbergen Institute Discussion Papers 23-037/III, Tinbergen Institute.
- Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
- Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.
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Articles
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- Philippe Bacchetta & Eric van Wincoop, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," Swiss Finance Institute Research Paper Series 19-35, Swiss Finance Institute.
- Philippe Bacchetta & Eric van Wincoop, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," NBER Working Papers 26259, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2018. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," 2018 Meeting Papers 675, Society for Economic Dynamics.
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"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
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- Bacchetta, Philippe & van Wincoop, Eric, 2021.
"Puzzling exchange rate dynamics and delayed portfolio adjustment,"
Journal of International Economics, Elsevier, vol. 131(C).
- Drew D. Creal & Jing Cynthia Wu, 2020.
"Bond risk premia in consumption‐based models,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
See citations under working paper version above.
- Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
- Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas, 2017.
"Testing for Parameter Instability across Different Modeling Frameworks,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 223-246.
Cited by:
- Cem Cakmakli & Yasin Simsek, 2023. "Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model," Papers 2301.13692, arXiv.org.
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"Modeling and Forecasting Macroeconomic Downside Risk,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
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- Delle Monache, Davide & De Polis, Andrea & Petrella, Ivan, 2021. "Modeling and forecasting macroeconomic downside risk," Temi di discussione (Economic working papers) 1324, Bank of Italy, Economic Research and International Relations Area.
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"Testing against Changing Correlation,"
Cambridge Working Papers in Economics
1439, Faculty of Economics, University of Cambridge.
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- Drew D. Creal & Jing Cynthia Wu, 2017.
"Monetary Policy Uncertainty And Economic Fluctuations,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1317-1354, November.
See citations under working paper version above.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Monetary Policy Uncertainty and Economic Fluctuations," NBER Working Papers 20594, National Bureau of Economic Research, Inc.
- Drew D. Creal, 2017.
"A Class of Non-Gaussian State Space Models With Exact Likelihood Inference,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 585-597, October.
Cited by:
- Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
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"Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility,"
GRIPS Discussion Papers
15-17, National Graduate Institute for Policy Studies.
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- Roberto Leon-Gonzalez, 2014. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," Working Paper series 19_14, Rimini Centre for Economic Analysis.
- Roberto Leon-Gonzalez, 2018. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 17-16, National Graduate Institute for Policy Studies.
- Roberto León-González, 2019. "Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 899-920, September.
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"Exact Likelihood for Inverse Gamma Stochastic Volatility Models,"
GRIPS Discussion Papers
23-07, National Graduate Institute for Policy Studies.
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- Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.
- Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
- Creal, Drew D. & Tsay, Ruey S., 2015.
"High dimensional dynamic stochastic copula models,"
Journal of Econometrics, Elsevier, vol. 189(2), pages 335-345.
Cited by:
- Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
- Bournakis, Ioannis & Tsionas, Mike G., 2023.
"A Non-Parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax,"
MPRA Paper
118100, University Library of Munich, Germany.
- Ioannis Bournakis & Mike Tsionas, 2024. "A Non‐parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 641-671, June.
- Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
- Delis, Manthos D. & Kazakis, Pantelis & Zopounidis, Constantin, 2023. "Management and takeover decisions," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1256-1268.
- Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
- Tsionas, Mike G. & Mallick, Sushanta K., 2019. "A Bayesian semiparametric approach to stochastic frontiers and productivity," European Journal of Operational Research, Elsevier, vol. 274(1), pages 391-402.
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- Manthos D. Delis & Pantelis Kazakis & Constantin Zopounidis, 2021. "Management Practices and Takeover Decisions," Working Papers 2021_10, Business School - Economics, University of Glasgow.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
CAMA Working Papers
2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
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"Modeling financial sector joint tail risk in the euro area,"
Working Paper Series
308, Sveriges Riksbank (Central Bank of Sweden).
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
- André Lucas & Bernd Schwaab & Xin Zhang, 2017. "Modeling Financial Sector Joint Tail Risk in the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
- Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021.
"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
- Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
- Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018.
"Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach,"
Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
- Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2017. "Sovereign Bond Market Dependencies and Crisis Transmission around the Eurozone Debt Crisis: A Dynamic Copula Approach," Working Papers 2017-008, Department of Research, Ipag Business School.
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"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
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"Vector autoregression models with skewness and heavy tails,"
Papers
2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
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"Frontiers in Time Series and Financial Econometrics: An Overview,"
Documentos de Trabajo del ICAE
2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
- Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
- Tong, Chen & Hansen, Peter Reinhard, 2023.
"Characterizing correlation matrices that admit a clustered factor representation,"
Economics Letters, Elsevier, vol. 233(C).
- Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
- Mike G. Tsionas & Nicholas Apergis, 2023. "Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1137-1155, January.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
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"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
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- Dong Hwan Oh & Andrew J. Patton, 2021. "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series 2021-029r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 May 2022.
- Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
- Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor, 2018. "Dynamic discrete copula models for high‐frequency stock price changes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 966-985, November.
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
- Alexander Mayer & Dominik Wied, 2021.
"Estimation and Inference in Factor Copula Models with Exogenous Covariates,"
Papers
2107.03366, arXiv.org, revised Dec 2022.
- Mayer, Alexander & Wied, Dominik, 2023. "Estimation and inference in factor copula models with exogenous covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
- Emmanuel C. Mamatzakis & Steven Ongena & Mike G. Tsionas, 2023. "The response of household debt to COVID-19 using a neural networks VAR in OECD," Empirical Economics, Springer, vol. 65(1), pages 65-91, July.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023.
"Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
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- Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.
- Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
- Verhoijsen Alex & Krupskiy Pavel, 2022. "Fast inference methods for high-dimensional factor copulas," Dependence Modeling, De Gruyter, vol. 10(1), pages 270-289, January.
- Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
- Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
- Sihong Chen & Qi Li & Qiaoyu Wang & Yu Yvette Zhang, 2023. "Multivariate models of commodity futures markets: a dynamic copula approach," Empirical Economics, Springer, vol. 64(6), pages 3037-3057, June.
- Dong Hwan Oh & Andrew J. Patton, 2015.
"Modelling Dependence in High Dimensions with Factor Copulas,"
Finance and Economics Discussion Series
2015-51, Board of Governors of the Federal Reserve System (U.S.).
- Dong Hwan Oh & Andrew J. Patton, 2017. "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
- Mudiangombe, Benjamin & Muteba Mwamba, John Weirstrass, 2019. "Dependence Structure of Insurance Credit Default Swaps," MPRA Paper 97335, University Library of Munich, Germany.
- Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
- Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
- Tsionas, Mike G., 2020. "On a model of environmental performance and technology gaps," European Journal of Operational Research, Elsevier, vol. 285(3), pages 1141-1152.
- Smith, Michael Stanley & Maneesoonthorn, Worapree, 2018. "Inversion copulas from nonlinear state space models with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 34(3), pages 389-407.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2023. "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns," Papers 2308.05564, arXiv.org, revised Jul 2024.
- Virbickaitė, Audronė & Frey, Christoph & Macedo, Demian N., 2020. "Bayesian sequential stock return prediction through copulas," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
- Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).
- Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017.
"Time Series Copulas for Heteroskedastic Data,"
Papers
1701.07152, arXiv.org.
- Rubén Loaiza‐Maya & Michael S. Smith & Worapree Maneesoonthorn, 2018. "Time series copulas for heteroskedastic data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 332-354, April.
- Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
- Ling, S. & McAleer, M.J. & Tong, H., 2015. "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers EI 2015-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Li, Haiping & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country," Finance Research Letters, Elsevier, vol. 32(C).
- Tsionas, Mike G., 2022. "Convex non-parametric least squares, causal structures and productivity," European Journal of Operational Research, Elsevier, vol. 303(1), pages 370-387.
- Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
- Mike G. Tsionas & Subal C. Kumbhakar, 2023. "Productivity and Performance: A GMM approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 331-344, April.
- Chuting Sun & Qi Wu & Xing Yan, 2023. "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers 2301.07318, arXiv.org, revised Jan 2024.
- McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
- Sun, Chuting & Wu, Qi & Yan, Xing, 2024. "Dynamic CVaR portfolio construction with attention-powered generative factor learning," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
- Rezitis, Anthony N. & Rokopanos, Andreas & Tsionas, Mike G., 2021. "Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements," Economic Modelling, Elsevier, vol. 95(C), pages 215-227.
- Creal, Drew D. & Wu, Jing Cynthia, 2015.
"Estimation of affine term structure models with spanned or unspanned stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
See citations under working paper version above.
- Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
- Drew D. Creal & Robert B. Gramacy & Ruey S. Tsay, 2014.
"Market-Based Credit Ratings,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 430-444, July.
Cited by:
- Creal, Drew D. & Tsay, Ruey S., 2015. "High dimensional dynamic stochastic copula models," Journal of Econometrics, Elsevier, vol. 189(2), pages 335-345.
- André Lucas & Julia Schaumburg & Bernd Schwaab, 2020.
"Dynamic clustering of multivariate panel data,"
Tinbergen Institute Discussion Papers
20-009/III, Tinbergen Institute.
- Joao, Igor Custodio & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2021. "Dynamic clustering of multivariate panel data," Working Paper Series 2577, European Central Bank.
- Custodio João, Igor & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2023. "Dynamic clustering of multivariate panel data," Journal of Econometrics, Elsevier, vol. 237(2).
- Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
- Cornaggia, Kimberly & Hund, John & Nguyen, Giang, 2022. "Investor attention and municipal bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
- Sermpinis, Georgios & Tsoukas, Serafeim & Zhang, Ping, 2018. "Modelling market implied ratings using LASSO variable selection techniques," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 19-35.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014.
"Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"
The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
See citations under working paper version above.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
- Drew Creal & Siem Jan Koopman & André Lucas, 2013.
"Generalized Autoregressive Score Models With Applications,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, August.
Cited by:
- Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael, 2020.
"Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 150-155.
- Roman Matkovskyy & Akanksha Jalan & Michael Dowling, 2020. "Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets," Post-Print hal-03004707, HAL.
- Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
- Marimoutou, Vêlayoudom & Soury, Manel, 2015. "Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model," Energy, Elsevier, vol. 88(C), pages 417-429.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Tata Subba Rao & Granville Tunnicliffe Wilson & Andrew Harvey & Rutger-Jan Lange, 2017.
"Volatility Modeling with a Generalized t Distribution,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
- Andrew Harvey & Rutger-Jan Lange, 2015. "Volatility Modeling with a Generalized t-distribution," Cambridge Working Papers in Economics 1517, Faculty of Economics, University of Cambridge.
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"A neural network ensemble approach for GDP forecasting,"
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"Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data,"
Tinbergen Institute Discussion Papers
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"Bank Business Models at Zero Interest Rates,"
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"Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros,"
Tinbergen Institute Discussion Papers
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"Time-Varying Transition Probabilities for Markov Regime Switching Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 458-478, May.
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"Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence,"
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"How are Africa's emerging stock markets related to advanced markets? Evidence from copulas,"
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"Forecasting football match results in national league competitions using score-driven time series models,"
International Journal of Forecasting, Elsevier, vol. 35(2), pages 797-809.
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See citations under working paper version above.
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"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations,"
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See citations under working paper version above.- Drew Creal & Siem Jan Koopman & André Lucas, 2010. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers 10-032/2, Tinbergen Institute.
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"Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
See citations under working paper version above.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
- Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009.
"Testing the assumptions behind importance sampling,"
Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
Cited by:
- Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
- Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
- Edward P. Herbst & Frank Schorfheide, 2012.
"Sequential Monte Carlo sampling for DSGE models,"
Working Papers
12-27, Federal Reserve Bank of Philadelphia.
- Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo Sampling for DSGE Models," NBER Working Papers 19152, National Bureau of Economic Research, Inc.
- Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo sampling for DSGE models," Finance and Economics Discussion Series 2013-43, Board of Governors of the Federal Reserve System (U.S.).
- Edward Herbst & Frank Schorfheide, 2014. "Sequential Monte Carlo Sampling For Dsge Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1073-1098, November.
- Siem Jan Koopman & Rutger Lit, 2015.
"A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(1), pages 167-186, January.
- Siem Jan Koopman & Rutger Lit, 2012. "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers 12-099/III, Tinbergen Institute.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018.
"Inference in Bayesian Proxy-SVARs,"
FRB Atlanta Working Paper
2018-16, Federal Reserve Bank of Atlanta.
- Jonas E. Arias & Juan F. Rubio-Ramírez & Daniel F. Waggoner, 2018. "Inference in Bayesian Proxy-SVARs," Working Papers 2018-13, FEDEA.
- Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2021. "Inference in Bayesian Proxy-SVARs," Journal of Econometrics, Elsevier, vol. 225(1), pages 88-106.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018. "Inference in Bayesian Proxy-SVARs," Working Papers 18-25/R, Federal Reserve Bank of Philadelphia.
- Falk Bräuning & Siem Jan Koopman, 2016.
"The dynamic factor network model with an application to global credit risk,"
Working Papers
16-13, Federal Reserve Bank of Boston.
- Falk Bräuning & Siem Jan Koopman, 2016. "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers 16-105/III, Tinbergen Institute.
- Youngjun Choe & Henry Lam & Eunshin Byon, 2018. "Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1155-1172, December.
- Siem Jan Koopman & Rutger Lit & André Lucas, 2017.
"Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1490-1503, October.
- Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015. "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers 15-076/IV/DSF94, Tinbergen Institute.
- Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2012.
"Simulated Maximum Likelihood Estimation for Latent Diffusion Models,"
Working Papers
12-2012, Singapore Management University, School of Economics.
- Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 10-2011, Singapore Management University, School of Economics.
- Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers CoFie-04-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Mengheng Li & Siem Jan (S.J.) Koopman, 2018. "Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction," Tinbergen Institute Discussion Papers 18-027/III, Tinbergen Institute.
- Dominik Bertsche & Robin Braun, 2018.
"Identification of Structural Vector Autoregressions by Stochastic Volatility,"
Working Paper Series of the Department of Economics, University of Konstanz
2018-03, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Braun, Robin, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181631, Verein für Socialpolitik / German Economic Association.
- Bertsche, Dominik & Braun, Robin, 2020. "Identification of structural vector autoregressions by stochastic volatility," Bank of England working papers 869, Bank of England.
- Dominik Bertsche & Robin Braun, 2017. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2017-11, Department of Economics, University of Konstanz.
- Dominik Bertsche & Robin Braun, 2022. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
- Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2753-2762, November.
- Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
- Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
- Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011.
"Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models,"
Tinbergen Institute Discussion Papers
11-057/4, Tinbergen Institute, revised 27 Jan 2012.
- Siem Jan Koopman & André Lucas & Marcel Scharth, 2015. "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 114-127, January.
- G. Mesters & S. J. Koopman & M. Ooms, 2016.
"Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
- Charles S. Bos, 2011. "Relating Stochastic Volatility Estimation Methods," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute.
- Siem Jan Koopman & Geert Mesters, 2014.
"Empirical Bayes Methods for Dynamic Factor Models,"
Tinbergen Institute Discussion Papers
14-061/III, Tinbergen Institute.
- S. J. Koopman & G. Mesters, 2017. "Empirical Bayes Methods for Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 486-498, July.
- Geert Mesters & Siem Jan Koopman, 2012.
"Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time,"
Tinbergen Institute Discussion Papers
12-009/4, Tinbergen Institute, revised 18 Mar 2014.
- Mesters, G. & Koopman, S.J., 2014. "Generalized dynamic panel data models with random effects for cross-section and time," Journal of Econometrics, Elsevier, vol. 180(2), pages 127-140.
- Scharth, Marcel & Kohn, Robert, 2016. "Particle efficient importance sampling," Journal of Econometrics, Elsevier, vol. 190(1), pages 133-147.
- Wu, Xin-Yu & Ma, Chao-Qun & Wang, Shou-Yang, 2012. "Warrant pricing under GARCH diffusion model," Economic Modelling, Elsevier, vol. 29(6), pages 2237-2244.
- Chao Huang & Jin-Guan Lin & Yan-Yan Ren, 2013. "Testing for the shape parameter of generalized extreme value distribution based on the $$L_q$$ -likelihood ratio statistic," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 641-671, July.
- Matti Vihola & Jouni Helske & Jordan Franks, 2020. "Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1339-1376, December.
- Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute, revised 06 Jul 2015.
- Bräuning, Falk & Koopman, Siem Jan, 2020. "The dynamic factor network model with an application to international trade," Journal of Econometrics, Elsevier, vol. 216(2), pages 494-515.
- Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008.
"The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics,"
Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October.
Cited by:
- Blasques, F. & van Brummelen, J. & Gorgi, P. & Koopman, S.J., 2024.
"A robust Beveridge–Nelson decomposition using a score-driven approach with an application,"
Economics Letters, Elsevier, vol. 236(C).
- Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024. "A robust Beveridge-Nelson decomposition using a score-driven approach with an application," Tinbergen Institute Discussion Papers 24-003/III, Tinbergen Institute.
- Sbrana, Giacomo, 2013.
"The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions,"
Economic Modelling, Elsevier, vol. 30(C), pages 311-316.
- Giacomo Sbrana, 2013. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Post-Print hal-00779344, HAL.
- Giacomo Sbrana, 2010. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Working Papers 10-09, Association Française de Cliométrie (AFC).
- Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper 12038, University Library of Munich, Germany.
- Trenkler, Carsten & Weber, Enzo, 2015.
"On the identification of multivariate correlated unobserved components models,"
Working Papers
15-12, University of Mannheim, Department of Economics.
- Trenkler, Carsten & Weber, Enzo, 2016. "On the identification of multivariate correlated unobserved components models," Economics Letters, Elsevier, vol. 138(C), pages 15-18.
- Angelia L. Grant & Joshua C.C. Chan, 2017.
"A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
- Joshua C.C. Chan & Angelia L. Grant, 2015. "A Bayesian model comparison for trend-cycle decompositions of output," CAMA Working Papers 2015-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Tommaso Proietti, 2016.
"The Multistep Beveridge--Nelson Decomposition,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
- Proietti, Tommaso, 2011. "The Multistep Beveridge-Nelson Decomposition," Working Papers 09/2011, University of Sydney Business School, Discipline of Business Analytics.
- Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
- Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
- Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper 46162, University Library of Munich, Germany.
- Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
- Robert Dixon & G. C. Lim, 2012.
"A univariate model of aggregate labour productivity,"
Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2075-2080, June.
- R. Dixon & G. Lim, 2012. "A univariate model of aggregate labour productivity," Applied Economics, Taylor & Francis Journals, vol. 44(5), pages 581-585, February.
- Robert Dixon & G. C. Lim, 2013. "A univariate model of aggregate labour productivity," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2695-2695, June.
- Robert Dixon & G. C. Lim, 2008. "A Univariate Model of Aggregate Labour Productivity," Melbourne Institute Working Paper Series wp2008n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Dungey, Mardi & Jacobs, Jan & Tian, Jing & Norden, Simon van, 2012. "On trend-cycle decomposition and data revision," Research Report 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Luis Uzeda, 2018.
"State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models,"
Staff Working Papers
18-14, Bank of Canada.
- Luis Uzeda, 2022. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 25-53, Emerald Group Publishing Limited.
- Luis Uzeda, 2016. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," ANU Working Papers in Economics and Econometrics 2016-632, Australian National University, College of Business and Economics, School of Economics.
- Tommaso Proietti, 2019.
"Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models,"
CEIS Research Paper
455, Tor Vergata University, CEIS, revised 22 Mar 2019.
- Tommaso Proietti, 2021. "Predictability, real time estimation, and the formulation of unobserved components models," Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
- Hartl, Tobias, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242380, Verein für Socialpolitik / German Economic Association.
- Mardi Dungey & Jan P. A. M. Jacobs & Jing Tian & Simon van Norden, 2013.
"Trend-cycle decomposition: implications from an exact structural identification,"
Working Papers
13-22, Federal Reserve Bank of Philadelphia.
- Mardi Dungey & Jan P.A.M. Jacobs & Jing Jian & Simon van Norden, 2013. "Trend-Cycle Decomposition: Implications from an Exact Structural Identification," CIRANO Working Papers 2013s-23, CIRANO.
- James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
- Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
- Murasawa, Yasutomo, 2015.
"The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series,"
MPRA Paper
66319, University Library of Munich, Germany.
- Murasawa, Yasutomo, 2015. "The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series," Economics Letters, Elsevier, vol. 137(C), pages 157-162.
- Sbrana, Giacomo & Silvestrini, Andrea, 2023. "The RWDAR model: A novel state-space approach to forecasting," International Journal of Forecasting, Elsevier, vol. 39(2), pages 922-937.
- Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component," MPRA Paper 50053, University Library of Munich, Germany.
- Murasawa, Yasutomo, 2019.
"Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration,"
MPRA Paper
91979, University Library of Munich, Germany.
- Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.
- Boz, Emine & Daude, Christian & Bora Durdu, C., 2011. "Emerging market business cycles: Learning about the trend," Journal of Monetary Economics, Elsevier, vol. 58(6), pages 616-631.
- Han, Yang & Liu, Zehao & Ma, Jun, 2020. "Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model," China Economic Review, Elsevier, vol. 63(C).
- Tobias Hartl, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers 2102.10067, arXiv.org.
- Blasques, F. & van Brummelen, J. & Gorgi, P. & Koopman, S.J., 2024.
"A robust Beveridge–Nelson decomposition using a score-driven approach with an application,"
Economics Letters, Elsevier, vol. 236(C).
- Creal, Drew D., 2008.
"Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2863-2876, February.
Cited by:
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017.
"High-Frequency Jump Tests: Which Test Should We Use?,"
Papers
1708.09520, arXiv.org, revised Jan 2020.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020. "High-frequency jump tests: Which test should we use?," Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020. "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers 3/20, Monash University, Department of Econometrics and Business Statistics.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012.
"Probabilistic forecasts of volatility and its risk premia,"
Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
- Griffin, Jim & Steel, Mark F.J., 2008.
"Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes,"
MPRA Paper
11071, University Library of Munich, Germany.
- Griffin, J.E. & Steel, M.F.J., 2010. "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2594-2608, November.
- Maroulas, Vasileios & Pan, Xiaoyang & Xiong, Jie, 2020. "Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 203-231.
- Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
- Pedersen, M.W. & Thygesen, U.H. & Madsen, H., 2011. "Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 280-290, January.
- Carl Chiarella & Hing Hung & Thuy-Duong To, 2005.
"The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach,"
Research Paper Series
151, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013.
"Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures,"
Monash Econometrics and Business Statistics Working Papers
28/13, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
- Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2010. "Particle Markov chain Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 269-342, June.
- Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
- Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.
- Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2018. "Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 1-29.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017.
"High-Frequency Jump Tests: Which Test Should We Use?,"
Papers
1708.09520, arXiv.org, revised Jan 2020.
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