Time Series I

ESEM
Presenter(s) Type Length Chair Room Number Add to calendar
Yicong Lin Simon Donker van Heel Gabriel Rodriguez-Rondon Tatiana Kirsanova Contributed Sessions 26/08 16:00 CEST
90
mins
Tatiana Kirsanova
Zaal Franeker (M1-07)
Add to Calendar 2024-08-26 16:00:00 2024-12-25 20:40:14 EEA-ESEM 2024: Time Series I. Room: Zaal Franeker (M1-07) EEA-ESEM 2024 congress@eeassoc.org Europe/Rome public
Presenter(s) Yicong Lin Simon Donker van Heel Gabriel Rodriguez-Rondon Tatiana Kirsanova
TypeContributed Sessions
Date 26/08
Time16:00 CEST
Length
90
mins
Chair
Tatiana Kirsanova
Room Number
Zaal Franeker (M1-07)
Add to calendar
Add to Calendar 2024-08-26 16:00:00 2024-12-25 20:40:14 EEA-ESEM 2024: Time Series I. Room: Zaal Franeker (M1-07) EEA-ESEM 2024 congress@eeassoc.org Europe/Rome public

Papers

(Listed in order of presenters above)

Consistency, distributional convergence, and optimality of score-driven filters

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Performance Guarantees for Misspecified Score-Driven Filters

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Monte Carlo Likelihood Ratio Tests for Markov Switching Models

On Bayesian Filtering for Markov Regime Switching Models

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Presentations

Consistency, distributional convergence, and optimality of score-driven filters

Performance Guarantees for Misspecified Score-Driven Filters

View

Monte Carlo Likelihood Ratio Tests for Markov Switching Models

On Bayesian Filtering for Markov Regime Switching Models

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