A time-varying parameter model for local explosions

Autor: Francisco Blasques, Siem Jan Koopman, Marc Nientker

Publikováno v: Blasques, F, Koopman, S J & Nientker, M 2022, ' A time-varying parameter model for local explosions ', Journal of Econometrics, vol. 227, no. 1, pp. 65-84 . https://doi.org/10.1016/j.jeconom.2021.05.008
Journal of Econometrics, 227(1), 65-84. Elsevier BV

Financial and economic time series can feature locally explosive behaviour when bubbles are formed. We develop a time-varying parameter model that is capable of describing this behaviour in time series data. Our proposed dynamic model can be used to

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ded42ed093f3a91ba080b9a53b7ca86
https://research.vu.nl/en/publications/a6745055-1e77-47f6-8089-514ce56a21e7

Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data

Autor: Siem Jan Koopman, Meindert Heres Hoogerkamp, Ilka van de Werve, Francisco Blasques

Publikováno v: van de Werve, I, Blasques, F, Koopman, S J & Heres Hoogerkamp, M 2021, ' Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data ', International Journal of Forecasting, vol. 37, no. 4, pp. 1426-1441 . https://doi.org/10.1016/j.ijforecast.2021.01.026
International Journal of Forecasting, 37(4), 1426-1441. Elsevier

We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::24ccd5ea3da22061c5b9460c9a56b337
https://doi.org/10.1016/j.ijforecast.2021.01.026

Score-Driven Models: Methods and Applications

Autor: Mariia Artemova, Francisco Blasques, Janneke van Brummelen, Siem Jan Koopman

The flexibility, generality, and feasibility of score-driven models have contributed much to the impact of score-driven models in both research and policy. Score-driven models provide a unified framework for modeling the time-varying features in para

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4bbc6a0bec86653c9afe8ac98ba275a2
https://doi.org/10.1093/acrefore/9780190625979.013.671

Maximum likelihood estimation for score-driven models

Autor: Siem Jan Koopman, Janneke van Brummelen, Andre Lucas, Francisco Blasques

Publikováno v: Journal of Econometrics, 227(2), 325-346. Elsevier BV
Blasques, F, van Brummelen, J, Koopman, S J & Lucas, A 2022, ' Maximum likelihood estimation for score-driven models ', Journal of Econometrics, vol. 227, no. 2, pp. 325-346 . https://doi.org/10.1016/j.jeconom.2021.06.003

We establish strong consistency and asymptotic normality of the maximum likelihood estimator for stochastic time-varying parameter models driven by the score of the predictive conditional likelihood function. For this purpose, we formulate primitive

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9802dc3e6b015fc9e1ff2d9678abe28f
https://research.vu.nl/en/publications/f002f9e8-1670-4a24-b059-44dda23f9aff

Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

Autor: Francisco Blasques, Enzo D'Innocenzo, Siem Jan Koopman

Publikováno v: SSRN Electronic Journal.

We propose a multiplicative dynamic factor structure for the conditional modelling of the variances of an N-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework is bas

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5cd9edd4ca48bc961568ebcdae2a2fdd
https://doi.org/10.2139/ssrn.3875612