14-032/IV - The Dynamic Skellam Model with Applications

• Authors
  Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam; André Lucas, VU University Amsterdam
• Publication date
  March 10, 2014

• Keywords
  dynamic count data models, non-Gaussian multivariate time series models, importance sampling, numerical integration, volatility models, sports data
• JEL
  C22, C32, C58