Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Creal, D. D."'
Publikováno v:
Calvori, F, Creal, D D, Koopman, S J & Lucas, A 2014 ' Testing for Parameter Instability in Competing Modeling Frameworks ' TI Discussion Paper, no. 14-010/IV/71, Tinbergen Institute, Amsterdam . < http://papers.tinbergen.nl/14010.pdf >
Vrije Universiteit Amsterdam
Vrije Universiteit Amsterdam
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6a243112e4449e67e5461d857a9a2597
https://hdl.handle.net/1871.1/83676e9b-a828-4c25-9ec5-38efdfd95705
https://hdl.handle.net/1871.1/83676e9b-a828-4c25-9ec5-38efdfd95705
Publikováno v:
Vrije Universiteit Amsterdam
Zhang, X, Creal, D D, Koopman, S J & Lucas, A 2011 ' Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails ' DSF/TI Discussion Paper, no. 11-078/2/DSF22, Duisenberg School of Finance, Amsterdam . < http://www.tinbergen.nl/discussionpaper/?paper=1769 >
Zhang, X, Creal, D D, Koopman, S J & Lucas, A 2011 ' Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails ' DSF/TI Discussion Paper, no. 11-078/2/DSF22, Duisenberg School of Finance, Amsterdam . < http://www.tinbergen.nl/discussionpaper/?paper=1769 >
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::01b33832d9bb814678ac2b39425c8e59
https://research.vu.nl/en/publications/7b3e644c-e018-40fe-87a3-3a08764e8d63
https://research.vu.nl/en/publications/7b3e644c-e018-40fe-87a3-3a08764e8d63
Publikováno v:
Vrije Universiteit Amsterdam
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2011 ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ' DSF Discussion Papers, no. 11-042/2/DSF16, Duisenberg School of Finance, Amsterdam . < http://www.tinbergen.nl/discussionpaper/?paper=1733 >
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2011 ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ' DSF Discussion Papers, no. 11-042/2/DSF16, Duisenberg School of Finance, Amsterdam . < http://www.tinbergen.nl/discussionpaper/?paper=1733 >
We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::161dd0f73b2be39fccbc90f806bcc9f0
https://hdl.handle.net/10419/86923
https://hdl.handle.net/10419/86923
Publikováno v:
Vrije Universiteit Amsterdam
Koopman, 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 Instituut (TI), Amsterdam .
Koopman, 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 Instituut (TI), Amsterdam .
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::78a3e6dcca25e9d2b393b25d5ebd435c
https://research.vu.nl/en/publications/e898ea15-1950-405d-89a3-0616f1bfdaac
https://research.vu.nl/en/publications/e898ea15-1950-405d-89a3-0616f1bfdaac
Publikováno v:
Vrije Universiteit Amsterdam
Koopman, S J, Creal, D D & Zivot, E 2008 ' The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model ' TI discussion paper, no. 08-069/4, Tinbergen Instituut (TI), Amsterdam .
Koopman, S J, Creal, D D & Zivot, E 2008 ' The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model ' TI discussion paper, no. 08-069/4, Tinbergen Instituut (TI), Amsterdam .
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d4a3bba8875b6452053a6f52ed5900f1
https://research.vu.nl/en/publications/30c00dda-d265-4751-b74f-5d51a5dcddec
https://research.vu.nl/en/publications/30c00dda-d265-4751-b74f-5d51a5dcddec
Publikováno v:
Vrije Universiteit Amsterdam
Creal, D D, Koopman, S J & Lucas, A 2010 ' A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations ' TI Discussion Papers Series, no. 10-032/2, Tinbergen Instituut (TI), Amsterdam . < http://www.tinbergen.nl/ti-publications/discussion-papers.php?paper=1581 >
Creal, D D, Koopman, S J & Lucas, A 2010 ' A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations ' TI Discussion Papers Series, no. 10-032/2, Tinbergen Instituut (TI), Amsterdam . < http://www.tinbergen.nl/ti-publications/discussion-papers.php?paper=1581 >
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-va
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::990b1c3bf48e6e7acbe827f64b533f20
https://research.vu.nl/en/publications/326ba5ea-93b7-4b68-a881-4756ccb64132
https://research.vu.nl/en/publications/326ba5ea-93b7-4b68-a881-4756ccb64132