Janneke van Brummelen

Economics and Econometrics · 2021

A researcher in the Science corpus: 1 paper; trusts 3 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Janneke van Brummelen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Andrew S. Harvey
  2. Drew D. Creal
  3. S. J. Koopman

Papers from Janneke van Brummelen's perspective

Ordered by how strongly the researchers Janneke van Brummelen trusts endorse each paper. Same corpus, a different order for every researcher.

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
  2. Dynamic Models for Volatility and Heavy Tails: Location/Scale Models for Non-negative Variables
  3. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
  4. Generalized autoregressive conditional heteroskedasticity
  5. Dynamic Conditional Correlation
  6. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
  7. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
  8. A simple and efficient simulation smoother for state space time series analysis
  9. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
  10. New frontiers for arch models

Their papers