Author:
Blasques F.,Gorgi P.,Koopman S.J.
Funder
Dutch National Science Foundation
Danish National Research Foundation
Subject
Applied Mathematics,Economics and Econometrics
Reference38 articles.
1. GARCH processes: structure and estimation;Berkes;Bernoulli,2003
2. Feasible invertibility conditions and maximum likelihood estimation for observation-driven models;Blasques;Electron. J. Stat.,2018
3. Blasques, F., Koopman, S.J., Lucas, A., 2014a. Maximum Likelihood Estimation for Generalized Autoregressive Score Models. Technical Report. Tinbergen Institute Discussion Papers 14-029/III.
4. Stationarity and ergodicity of univariate generalized autoregressive score processes;Blasques;Electron. J. Stat.,2014
5. Spillover dynamics for systemic risk measurement using spatial financial time series models;Blasques;J. Econometrics,2016
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4 articles.
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