Pages that link to "Item:Q5258425"
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The following pages link to Information-theoretic optimality of observation-driven time series models for continuous responses (Q5258425):
Displaying 30 items.
- Spillover dynamics for systemic risk measurement using spatial financial time series models (Q337776) (← links)
- Semiparametric score driven volatility models (Q1659100) (← links)
- Accounting for missing values in score-driven time-varying parameter models (Q1672734) (← links)
- A parametric, information-theory model for predictions in time series (Q1782799) (← links)
- Two classes of dynamic binomial integer-valued ARCH models (Q2032324) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation (Q2151994) (← links)
- Accelerating score-driven time series models (Q2330723) (← links)
- Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models (Q2364005) (← links)
- The continuous-time limit of score-driven volatility models (Q2658765) (← links)
- Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models (Q3386970) (← links)
- Modeling price clustering in high-frequency prices (Q5039627) (← links)
- Time‐Varying Transition Probabilities for Markov Regime Switching Models (Q5346584) (← links)
- Nonlinear autoregressive models with optimality properties (Q5860996) (← links)
- Forecasting aggregate claims using score‐driven time series models (Q6067571) (← links)
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models (Q6090562) (← links)
- Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions (Q6138242) (← links)
- A robust score-driven filter for multivariate time series (Q6176096) (← links)
- Autoregressive conditional betas (Q6193071) (← links)
- Observation-driven filtering of time-varying parameters using moment conditions (Q6193078) (← links)
- Signal smoothing for score-driven models: a linear approach (Q6552986) (← links)
- Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets (Q6553231) (← links)
- Fast estimation of a large TVP-VAR model with score-driven volatilities (Q6556130) (← links)
- Maximum likelihood with a time varying parameter (Q6579434) (← links)
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics (Q6617813) (← links)
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (Q6617825) (← links)
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns (Q6623216) (← links)
- Modeling Extreme Events: Time-Varying Extreme Tail Shape (Q6626257) (← links)
- Modeling and Forecasting Macroeconomic Downside Risk (Q6626267) (← links)
