Zobrazeno 1 - 8 of 8 pro vyhledávání: '"Dick J.C. van Dijk"'
5
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Autor: Pawel Janus, André Lucas, Anne Opschoor, Dick J.C. van Dijk
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
Zobrazit plný text záznamu
6
An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Autor: Sjoerd van den Hauwe, Richard Paap, Dick J.C. van Dijk
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
Zobrazit plný text záznamu
7
Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Autor: Cem Cakmakli, Richard Paap, Dick J.C. van Dijk
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
Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání

Omezení vyhledávání
Plný text Recenzováno Digitální knihovna AV ČR
Zdroje