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Extreme value models in a conditional duration intensity framework

• Authors : Herrera, Rodrigo; Schipp, Bernhard

Subjects: ddc:330; C22; C58

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Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

• Authors : Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel

Subjects: ddc:330; C15; C22

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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

• Authors : Mika Meitz; Pentti Saikkonen

Subjects: Markovscher Prozess; Economics and Econometrics; ARCH-Modell

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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

• Authors : Siem Jan Koopman; Andre Lucas; Scharth Figueiredo Pinto, M. ...

Subjects: Zustandsraummodell; Monte-Carlo-Methode; Maximum-Likelihood-Methode

• Source: Koopman, S J, Lucas, A & Scharth Figueiredo Pinto, M 2011 ' Numerically accelerated importance sampling for nonlinear non-Gaussian state space models ' TI Discussion Papers, no. 11-057/4, Tinbergen

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Econometric analysis of financial transaction data : pitfalls and opportunities

• Authors : Hautsch, Nikolaus; Pohlmeier, Winfried

Subjects: ARCH-Modell; ddc:330; transaction data

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A General Framework for Observation Driven Time-Varying Parameter Models

• Authors : Creal, Drew; Koopman, Siem Jan; Lucas, André

Subjects: ddc:330; C10; C22

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Duration models and point processes

• Authors : Florens, Jean-Pierre; Fougère, Denis; Mouchart, Michel

Subjects: ddc:330; Statistische Bestandsanalyse; Mikroökonometrie

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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

• Authors : Meitz, Mika; Saikkonen, Pentti

Subjects: ddc:330; C22; Markovscher Prozess

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Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten

• Authors : Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan

Subjects: ddc:330; C14; C22

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A General Framework for Observation Driven Time-Varying Parameter Models

• Authors : S.J. Koopman; Creal, D. D.; Andre Lucas ...

Subjects: copulas; time-varying parameters; dynamic models

• Source: Vrije Universiteit AmsterdamKoopman, S J, Creal, D D & Lucas, A 2008 ' A General Framework for Observation Driven Time-Varying Parameter Models ' TI Discussion Paper, no. 08-108/4, Tinbergen

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