观测驱动模型中时变参数的在样本置信带与样本外预测带
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
International Journal of Forecasting · 2016
被引 44
ABS 3
- Francisco Blasques
- Siem Jan Koopman 通讯
- Katarzyna Łasak
- André Lucas
计量经济学时间序列分析金融波动率自回归模型