141 research outputs found
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
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Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models
Full text linkObservation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Full text linkFeasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
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On the Winning Virtuous Strategies for Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
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Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds
No full textThese files include data and the Matlab replication codes that report the results in the paper. The data are recorded in Matlab files. There is also a read-me file describing which files replicate which Tables and Figures
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