Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - Tinbergen Instituut - 2015
for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter … procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized autoregressive conditional … that is embedded in the time-varying parameter path. We illustrate our findings in a volatility analysis for monthly …