Filtering With Heavy Tails
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Cites work
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Robust estimation for ARMA models
- Robust Statistics
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
Cited in
(39)- Semiparametric score driven volatility models
- Accounting for missing values in score-driven time-varying parameter models
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Maximum likelihood estimation for score-driven models
- A coupled component DCS-EGARCH model for intraday and overnight volatility
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
- Accelerating score-driven time series models
- Missing observations in observation-driven time series models
- Identification of seasonal effects in impulse responses using score-driven multivariate location models
- Multivariate Markov-switching score-driven models: an application to the global crude oil market
- Spillover dynamics for systemic risk measurement using spatial financial time series models
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- A stochastic recurrence equations approach for score driven correlation models
- Robust estimation of linear state space models
- Time-series models with an EGB2 conditional distribution
- Time-varying transition probabilities for Markov regime switching models
- Outliers, structural shifts and heavy-tailed distributions in state space time series models
- Nonlinear autoregressive models with optimality properties
- Distributed maximum correntropy unscented Kalman filtering with state equality constraints
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
- Score-Driven Modeling of Spatio-Temporal Data
- A robust score-driven filter for multivariate time series
- Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
- Observation-driven filtering of time-varying parameters using moment conditions
- A robust Beveridge-Nelson decomposition using a score-driven approach with an application
- Signal smoothing for score-driven models: a linear approach
- Bayesian log-linear beta-negative binomial integer-valued GARCH model
- Robust statistics: a selective overview and new directions
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- Modeling and Forecasting Macroeconomic Downside Risk
- Score-driven time-varying parameter models with spline-based densities
- Unobserved component models, approximate filters and dynamic adaptive mixture models
- Prediction of random variables by excursion metric projections
- Modeling extreme events in time series and their impact on seasonal adjustment in the post-Covid-19 era
- Stable kernel size adaptation-based maximum correntropy Kalman filter
- Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
- Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
- Implicit score-driven filters for time-varying parameter models
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