Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands
De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Tinbergen Institute
VU University Amsterdam
score driven models, time-varying parameters,Markov processes, stationarity, invertibility, consistency, asymptotic normality
Hidden Markov Models; observation driven models; generalized autoregressive score dynamics
Interbank liquidity, financial networks, credit risk uncertainty, peer monitoring, monetary policy, trading relationships, indirect parameter estimation
interbank lending, stochastic, network model
Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility
Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices
Autoregressive Models, Cross-Validation, Kullback-Leibler Divergence, Stationarity and Ergodicity, Macroeconomic Time Series
Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score
bubbles, observation driven models, noncausal models, stationary, ergodic, consistency, asymptotic normality, exchange rates
Ergodicity, GARCH-type models, mixing, nonlinear time series, stationarity,stochastic recurrence equations, threshold models
GARCH models, Kullback-Leibler divergence, score-driven models, S&P 500 stocks, time-varying parameters, US inflation
Asymptotic theory; Dynamic models; Observation driven time series models; Smooth-transition model; Time-Varying Parameters; Treshold autoregressive model
autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean
Dynamic panel, Threshold models, Spatial heterogeneity, Spatial autocorrelation, Urban Density, Interest Rates, Monetary Stability, Sovereign Debt Crisis
consistency, invertibility, maximum likelihood estimation, observation-driven models, stochastic recurrence equations
missing data, observation-driven models, consistency, indirect inference, volatility
invertibility, quasi-maximum likelihood estimator, volatility models
dynamic copulas, generalized autoregressive score (GAS) models, stochastic recurrence equations, observation driven models, contraction properties
generalized autoregressive models, information theory, optimality, Kullback-Leibler distance, volatility models
Financial econometrics, observation-driven models, conditional volatility, common factor
Asymptotic theory, Forecasting, Kalman filter, Nowcasting, State space
Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality
Financial High-Frequency Data, Autoregressive Conditional Duration Model, Zero-Inflated Negative Binomial Distribution, Generalized Autoregressive Score Model
Intractable densities, Least squares Monte Carlo, Nonlinear non-Gaussian state space models, Hidden Markov models, Real-time filtering
Dynamic Factor Models, Cluster Analysis, Forecasting, Education, Unemployment
nonparametric, phase-dependence, time-varying correlation
Penalized estimation, Indirect Inference, Simulation-based methods, DSGE models
Nonlinear Model Specification, DSGE, Perturbation Solutions
conditional score residuals, diagnostic analysis, residual autocorrelation, time series models
time-series, nonlinear autoregressive models, semi-nonparametric models, method of sieves
