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14-032/IV - The Dynamic Skellam Model with Applications


  • Authors
    Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam; André Lucas, VU University Amsterdam
  • Publication date
    March 10, 2014
  • Keywords
    dynamic count data models, non-Gaussian multivariate time series models, importance sampling, numerical integration, volatility models, sports data
  • JEL
    C22, C32, C58