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person:"Kapetanios, George"
~isPartOf:"Journal of empirical finance"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
~person:"Swanson, Norman R."
~source:"econis"
~subject:"Kalman filter"
~subject:"Maximum likelihood estimation"
~subject:"Volatilität"
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Kalman filter
Maximum likelihood estimation
Volatilität
Time series analysis
4
Zeitreihenanalyse
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3
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3
Theorie
3
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Kapetanios, George
Koopman, Siem Jan
Maravall Herrero, Agustín
Swanson, Norman R.
Santucci de Magistris, Paolo
2
Abergel, Frédéric
1
Amado, Cristina
1
Bee, Marco
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Journal of empirical finance
Discussion paper / Tinbergen Institute
50
Working papers / Rutgers University, Department of Economics
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Journal of econometrics
5
International journal of forecasting
3
Economics letters
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Journal of economic dynamics & control
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Econometric analysis of financial and economic time series ; part a
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Global COE Hi-Stat discussion paper series
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Journal of financial econometrics
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Time-series methods and applications
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Tinbergen Institute Discussion Paper 09-110/4
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Tinbergen Institute Discussion Paper 20-004/III
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Tinbergen Institute Discussion Paper 2016-061/III
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ECONIS (ZBW)
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1
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
2
Level shifts in stock returns driven by large shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of empirical finance
29
(
2014
),
pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
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