-
Drew Creal :
"Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics, 2013, forthcoming.
(2008 working paper version :
Discussion Paper Tinbergen Institute)
"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations",
Journal of Business and Economic Statistics, 2011,
Volume 29, Pages 552 - 563.
"Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk", 2011,
Discussion Paper Tinbergen Institute.
-
Xin Zhang :
"Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails", 2011,
Discussion Paper Tinbergen Institute.
Xin Zhang :
"Measuring credit risk in a large banking system: econometric modeling and empirics", 2012,
Working Paper.
-
Pawel Janus :
"Long Memory Dynamics for Multivariate Dependence under Heavy Tails", 2011,
Discussion Paper Tinbergen Institute.
"A Dynamic Model for Daily Equity Covariances Based on Multiple Measures", 2013.
-
Philipp Andres :
"The Dynamic Location/Scale Model: with applications to intra-day financial data", 2012,
Cambridge EconPapers.
-
Ryoko Ito : "Modeling dynamic diurnal patterns in high frequency financial data", 2012,
Cambridge EconPapers.
-
Francisco Blasques :
"Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes", 2012,
Discussion Paper Tinbergen Institute.
"Consistency en asymptotic normality of maximum likelihood estimators of parameters in a class of observation-driven time series models", 2013.
-
Erkki Silde :
"Stationarity and ergodicity of new models for correlation dynamics", 2013.
-
Bernd Schwaab :
"Conditional Probabilities for Euro Area Sovereign Default Risk", 2012,
ECB Working Paper.
-
Kris Boudt :
"Regime Switches in the Volatility and Correlation of Financial Institutions", 2012,
link to Repec.
-
Jiangyu Ji :
"A New Semiparametric Volatility Model", 2012,
Discussion Paper Tinbergen Institute.
-
Marcin Zamojski : "TBA", 2013.
-
Siem Jan Koopman :
"Predicting time-varying parameters with parameter-driven and observation-driven models", 2012,
Discussion Paper Tinbergen Institute.
-
Francesco Calvori :
"Parameter instability tests for alternative modeling frameworks", 2013,
VU working paper.
-
Stephen Thiele : "Time Varying Regression and Changing Correlation", 2013.
-
Andrew Harvey :
"Beta-t-(E)GARCH", 2008,
link to Repec.
"Filtering with heavy tails", 2012,
Cambridge EconPapers.