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Markov models / Econometrics / Stochastic processes / Time series / Volatility / Autoregressive conditional heteroskedasticity / Stochastic volatility / Kalman filter / Markov chain / Statistics / Time series analysis / Mathematical finance


Microsoft Word - Koopman_cover _KEYNOTE_.doc
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City

Florence / /

Company

Wilson / Monte Carlo / Diebold / Baxter / /

Country

United States / Italy / Luxembourg / /

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Facility

University of Washington Box / Savery Hall / European University Institute / /

IndustryTerm

manufacturing / /

Organization

University of Washington Box / EUROSTAT / Department of Economics / European University Institute / Department of Econometrics / Drew Creal Department of Econometrics / /

Person

Nelson / Drew Creal Eric Zivot / Siem Jan Koopman Drew Creal Eric / Siem Jan Koopman / Kim / Harvey / Drew Creal / Washington Box / Jan Koopman / Eric Zivot / /

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Position

King / researcher / time-varying multivariate trend-cycle model / model for the data / /

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