3 Discussion Papers

• 25-011/III - Score-driven time-varying parameter models with splinebased densities

  Authors: Janneke van Brummelen, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: February 16, 2025

• 25-006/III - Stability and performance guarantees for misspecified multivariate score-driven filters

  Authors: Simon Donker van Heel, Erasmus University Rotterdam; Rutger-Jan Lange, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bram van Os, Vrije Universiteit Amsterdam

  Date: February 05, 2025

• 25-004/III - Copula tensor count autoregressions for modeling multidimensional integer-valued time series

  Authors: Mirko Armillotta, University of Rome Tor Vergata; Paolo Gorgi, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: February 05, 2025