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08-108/4 - A General Framework for Observation Driven Time-Varying Parameter Models


  • Authors
    Drew Creal, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam
  • Publication date
    November 6, 2008
  • Keywords
    dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas
  • JEL
    C10, C22, C32, C51