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Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. Abstract We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by(More)
Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. Abstract We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the(More)
We extend the well-known static spatial Durbin model by introducing a time-varying spatial dependence parameter. The updating steps for this model are functions of past data and have information theoretic optimality properties. The static parameters are conveniently estimated by maximum likelihood. We establish the theoretical properties of the model and(More)
This paper introduces a structural micro-founded dynamic stochastic network model for the unsecured interbank lending market. Banks are profit optimizing agents subject to random liquidity shocks and can engage in costly counterparty search to find suitable trading partners and peer monitoring to reduce counterparty risk uncertainty. The structural(More)
Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. Abstract We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation models. These(More)
Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. Abstract This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the(More)
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