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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Koopman, Siem Jan"
~subject:"ARCH-Modell"
~subject:"Stochastic process"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Estimation theory
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Koopman, Siem Jan
Francq, Christian
11
Phillips, Peter C. B.
11
Gao, Jiti
10
Li, Jia
10
Nielsen, Morten Ørregaard
10
Todorov, Viktor
10
Zhu, Ke
10
Kumar, Dilip
9
Linton, Oliver
9
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9
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8
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8
Ling, Shiqing
8
Lütkepohl, Helmut
8
Sentana, Enrique
8
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7
Omay, Tolga
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Zakoïan, Jean-Michel
7
Andersen, Torben
6
Ardia, David
6
Cavaliere, Giuseppe
6
Hill, Jonathan B.
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Maheswaran, S.
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Peng, Liang
6
Poskitt, Donald Stephen
6
Shang, Han Lin
6
Su, Liangjun
6
Tauchen, George Eugene
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Tsionas, Efthymios G.
6
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5
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
3
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
4
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
7
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
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