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Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco.
In: Journal of Econometrics.
RePEc:eee:econom:v:227:y:2022:i:2:p:325-346.

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  1. Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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  2. Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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  3. Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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  4. Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20230051.

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  5. Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20230037.

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  6. A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors. (2023). Koopman, Siem Jan ; Blasques, Francisco ; Artemova, Mariia.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20230021.

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  7. Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: Energy Economics.
    RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

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  8. Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

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  9. Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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  10. Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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  11. Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul.
    In: Working Papers.
    RePEc:bny:wpaper:0125.

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  13. Dynamic Partial Correlation Models. (2022). Lange, Rutger-Jan ; Lucas, Andre ; D'Innocenzo, Enzo.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20220070.

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  14. Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20220066.

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  15. Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). Prange, Philipp ; Peter, Franziska J ; Thomas, .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115.

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  16. An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir.
    In: Papers.
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    RePEc:cwl:cwldpp:1233.

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  46. Uniform laws of large numbers and stochastic Lipschitz-continuity. (1998). de jong, Robert ; deJong, Robert M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:86:y:1998:i:2:p:243-268.

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  47. Contracting in space: An application of spatial statistics to discrete-choice models. (1998). Slade, Margaret ; Pinkse, Joris.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:85:y:1998:i:1:p:125-154.

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  48. Hypothesis testing with a restricted parameter space. (1998). Andrews, Donald.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:84:y:1998:i:1:p:155-199.

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  49. The moving blocks bootstrap and robust inference for linear least squares and quantile regressions. (1998). Fitzenberger, Bernd.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:82:y:1998:i:2:p:235-287.

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  50. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:61.

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  51. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-19.

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  52. Consistent Moment Selection Procedures for Generalized Method of Moments Estimation. (1997). Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1146r.

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  53. The Bierens test under data dependence. (1996). de jong, Robert ; deJong, Robert M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:72:y:1996:i:1-2:p:1-32.

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  54. Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative.. (1994). Ploberger, Werner ; Andrews, Donald.
    In: Econometrica.
    RePEc:ecm:emetrp:v:62:y:1994:i:6:p:1383-1414.

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  55. Testing for Serial Correlation Against an ARMA(1,1) Process. (1994). Ploberger, Werner ; Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1077.

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  56. Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative. (1993). Ploberger, Werner ; Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1058.

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  57. Nonlinear Econometric Models with Deterministically Trending Variables. (1993). McDermott, Christopher ; Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1053.

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  58. An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables. (1992). Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1020.

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