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15-083/III - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models


  • Authors
    Francisco Blasques, VU University Amsterdam, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Katarzyna Lasak, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands
  • Publication date
    July 9, 2015
  • Keywords
    autoregressive conditional duration, delta-method, generalized autoregressive
  • JEL
    C52, C53