Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):.
225 Key Publications
filtered by:
-
-
Opschoor, D. and \van der Wel\, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :. -
D\textquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917. -
Tommasi, D. and Zhang, L. (2024). Identifying program benefits when participation is misreported Journal of Applied Econometrics, 39(6):1123--1148. -
Magnus, \JanR.\ (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):. -
Gorgi, P., Koopman, \.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23. -
Creal, D., Koopman, \.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14. -
Camehl, A., Fok, D. and Gruber, K. (2024). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249:. -
Naghi, \AndreaA.\, O'Neill, E. and \Danielova Zaharieva\, M. (2024). The benefits of forecasting inflation with machine learning: New evidence Journal of Applied Econometrics, 39(7):1321--1331. -
\De Vos\, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1):. -
Boswijk, \H.Peter\, Laeven, \RogerJ.A.\ and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):. -
Ahmed, H., Einmahl, \JohnH.J.\ and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304. -
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2):. -
Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2):. -
He, Y., Jaidee, S. and Gao, J. (2023). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, 234(1):151--177. -
Leng, X., Chen, H. and Wang, W. (2023). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, 233(1):1--21. -
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112. -
Lumsdaine, R., Okui, R. and Wang, W. (2023). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, 233(1):45--65. -
Almeida, C., Freire, G., Azevedo, R. and Ardison, K. (2023). Nonparametric Option Pricing with Generalized Entropic Estimators Journal of Business and Economic Statistics, 41(4):1173--1187.