Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Dick J.C. van Dijk"'
Autor:
Daan Opschoor, Dick J.C. van Dijk
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f27f6b692f65db50018d0c042ba7bd0
https://doi.org/10.2139/ssrn.4408065
https://doi.org/10.2139/ssrn.4408065
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::403271b62804ca2725c2314f1a6810fd
https://doi.org/10.2139/ssrn.4227958
https://doi.org/10.2139/ssrn.4227958
Autor:
Bart Keijsers, Dick J.C. van Dijk
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26d9484fde257b008adafdb96ab62e43
https://doi.org/10.2139/ssrn.4232939
https://doi.org/10.2139/ssrn.4232939
Autor:
Bram van Os, Dick J.C. van Dijk
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0a569cc54403889ef3d0fe073a50663e
https://doi.org/10.2139/ssrn.3929416
https://doi.org/10.2139/ssrn.3929416
We develop a new model for the multivariate covariance matrix dynamics based on daily return observations and daily realized covariance matrix kernels based on intraday data. Both types of data may be fat-tailed. We account for this by assuming a mat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::57ce9864c15d7f147c519132a38b6589
http://papers.tinbergen.nl/14073.pdf
http://papers.tinbergen.nl/14073.pdf
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::757c16d5879d7717b0d5858e6594969d
http://papers.tinbergen.nl/11023.pdf
http://papers.tinbergen.nl/11023.pdf
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::49b3fdbb1ff1233c15f77eae824f1eb6
http://papers.tinbergen.nl/11002.pdf
http://papers.tinbergen.nl/11002.pdf
Autor:
Philip Hans Franses
In this short and very practical 2002 introduction to econometrics Philip Hans Franses guides the reader through the essential concepts of econometrics. Central to the book are practical questions in various economic disciplines, which can be answere