Francesco Calvori

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)

Viale Morgagni, 59

Florence, 50134

Italy

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Testing for Parameter Instability in Competing Modeling Frameworks

Tinbergen Institute 14-010/IV/71
Number of pages: 40 Posted: 18 Jan 2014 Last Revised: 06 Feb 2014
Francesco Calvori, Drew Creal, Siem Jan Koopman and Andre Lucas
University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA), University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
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Abstract:

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time-varying parameters; observation driven models; parameter driven models; structural breaks; generalized autoregressive score model; regime switching; credit risk