| Generalized Autoregressive Method of Moments D Creal, SJ Koopman, A Lucas, M Zamojski Tinbergen Institute Discussion Papers, 2015 | 20 | 2015 |
| Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting SJ Koopman, A Lucas, M Zamojski National Bank of Poland Working Papers, 2017 | 8 | 2017 |
| Hedge Fund Innovation A Siegmann, D Stefanova, M Zamojski Available at SSRN 2170435, 2013 | 8 | 2013 |
| Dynamic trade informativeness BZ Yueshen, M Zamojski, J Zhang Available at SSRN 3119538, 2022 | 6 | 2022 |
| Filtering With Confidence: In-sample Confidence Bands For GARCH Filters M Zamojski | 4* | |
| Observation-driven filtering of time-varying parameters using moment conditions D Creal, SJ Koopman, A Lucas, M Zamojski Journal of Econometrics 238 (2), 105635, 2024 | 1 | 2024 |
| Panta rhei, measurement and discovery of change in financial markets MJ Zamojski Amsterdam: Vrije Universiteit, 2017 | | 2017 |
Andre LucasVrije Universiteit Amsterdam and Tinbergen InstituteVerified email at vu.nl
