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