Max Mallee

VU University Amsterdam - Faculty of Economics and Business Administration

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

2

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CITATIONS
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11

Scholarly Papers (2)

1.

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Tinbergen Institute Discussion Paper No. 07-095/4, Journal of Business and Economic Statistics, Vol. 28, No. 3, pp. 329-343, 2010
Number of pages: 31 Posted: 10 Dec 2007 Last Revised: 15 Aug 2011
Vrije Universiteit Amsterdam, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam
Downloads 759 (20,819)
Citation 11

Abstract:

Generalized Autoregressive Conditional Heteroskedasticity model, Extended Kalman filter, Time-Varying Volatility, Yield Curve

2.

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Tinbergen Institute Discussion Paper 14-105/III
Number of pages: 51 Posted: 12 Aug 2014
VU University Amsterdam, Vrije Universiteit Amsterdam and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 9 (465,152)

Abstract:

Asymptotic theory, Forecasting, Kalman filter, Nowcasting, State space