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 2024-11-21 13:58:12 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 2024-11-21 13:58:12 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

Read paper

Performance Guarantees for Misspecified Score-Driven Filters

Read paper

Monte Carlo Likelihood Ratio Tests for Markov Switching Models

On Bayesian Filtering for Markov Regime Switching Models

Read paper

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

Econometric Society General Sponsors

Logo
D E Shaw & Co
European Central Bank
Fundacion BBVA Logo
NYU AD