15-083/III - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

• Authors
  Francisco Blasques, VU University Amsterdam, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Katarzyna Lasak, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands
• Publication date
  July 9, 2015

• Keywords
  autoregressive conditional duration, delta-method, generalized autoregressive
• JEL
  C52, C53