Katarzyna Lasak

VU Amsterdam

Department of Econometrics, FEWEB

De Boelelaan 1105

Amsterdam, 1081 HV

Netherlands

Tinbergen Institute

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

7

DOWNLOADS

233

SSRN CITATIONS
Rank 39,493

SSRN RANKINGS

Top 39,493

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (7)

1.

Maximum Likelihood Estimation of Fractionally Cointegrated Systems

CREATES Research Paper 2008-53
Number of pages: 32 Posted: 12 Sep 2008
Katarzyna Lasak
VU Amsterdam
Downloads 76 (329,894)
Citation 10

Abstract:

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Error correction model, Gaussian VAR model, Maximum likelihood estimation, Fractional cointegration

2.

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Tinbergen Institute Discussion Paper 15-083/III
Number of pages: 34 Posted: 11 Jul 2015
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 39 (449,349)
Citation 6

Abstract:

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autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean

3.

Likelihood Based Testing for No Fractional Cointegration

Number of pages: 27 Posted: 12 Sep 2008
Katarzyna Lasak
VU Amsterdam
Downloads 35 (466,435)
Citation 2

Abstract:

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Error correction model, Gaussian VAR model, Maximum likelihood estimation, Fractional cointegration, Likelihood ratio tests, fractional Brownian motion

4.

Fractional Cointegration Rank Estimation

Tinbergen Institute Discussion Paper 14-021/III
Number of pages: 33 Posted: 14 Feb 2014
Katarzyna Lasak and Carlos Velasco
VU Amsterdam and Universidad Carlos III de Madrid - Department of Economics
Downloads 31 (485,081)
Citation 1

Abstract:

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Error correction model, Gaussian VAR model, Likelihood ratio tests, Maximum likelihood estimation

5.

On an Estimation Method for an Alternative Fractionally Cointegrated Model

Tinbergen Institute Discussion Paper 14-052/III
Number of pages: 18 Posted: 02 May 2014
Federico Carlini and Katarzyna Lasak
Università della Svizzera italiana and VU Amsterdam
Downloads 28 (500,553)

Abstract:

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Error correction model, Gaussian VAR model, Fractional Cointegration, Estimation algorithm, Maximum likelihood estimation, Switching Algorithm, Reduced Rank Regression

6.

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Tinbergen Institute Discussion Paper 15-027/III
Number of pages: 31 Posted: 24 Feb 2015
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 18 (559,641)

Abstract:

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autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean

7.

Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model

Tinbergen Institute Discussion Paper 2018-085/III
Number of pages: 40 Posted: 10 Dec 2018
Federico Carlini and Katarzyna Lasak
University of Lugano and VU Amsterdam
Downloads 6 (638,586)

Abstract:

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Error correction model, Gaussian VAR model, Fractional Cointegration, Estimation algorithm, Maximum likelihood estimation, Switching Algorithm, Reduced Rank Regression