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source:"econis"
subject:"Schätztheorie"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of quantitative economics : official journal of the Indian Econometric Society"
~person:"Hallin, Marc"
~person:"Kohn, Robert"
~subject:"Momentenmethode"
~subject:"Monte Carlo simulation"
~subject:"Statistical test"
~subject:"Stochastic process"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Schätztheorie
Momentenmethode
Monte Carlo simulation
Statistical test
Stochastic process
Volatilität
Theorie
14
Theory
14
Time series analysis
8
Zeitreihenanalyse
8
Estimation theory
5
Volatility
4
ARCH model
3
ARCH-Modell
3
Forecasting model
3
Prognoseverfahren
3
Dynamic factor models
2
Estimation
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Factor analysis
2
Faktorenanalyse
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2
Markov-Kette
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Nichtparametrisches Verfahren
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Bayes-Statistik
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Einheitswurzeltest
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Hallin, Marc
Kohn, Robert
Phillips, Peter C. B.
16
Chib, Siddhartha
11
Lee, Lung-fei
11
Yu, Jun
10
Ullah, Aman
9
Gouriéroux, Christian
8
King, Maxwell L.
8
McAleer, Michael
8
Srivastava, Virendra K.
8
Giles, David E. A.
7
Koop, Gary
7
Li, Qi
7
Schmidt, Peter
7
Aït-Sahalia, Yacine
6
Bera, Anil K.
6
Bollerslev, Tim
6
Ghysels, Eric
6
Granger, C. W. J.
6
Khalaf, Lynda
6
Linton, Oliver
6
Renault, Eric
6
Taylor, Robert
6
Andrews, Donald W. K.
5
Baltagi, Badi H.
5
Boswijk, Herman Peter
5
Brooks, Robert
5
Diebold, Francis X.
5
Gallant, A. Ronald
5
Gonzalo, Jesús
5
Horowitz, Joel
5
Ohtani, Kazuhiro
5
Pesaran, M. Hashem
5
Singh, Radhey S.
5
Swanson, Norman R.
5
Tauchen, George Eugene
5
Windmeijer, Frank
5
Xiao, Zhijie
5
Ahn, Seung Chan
4
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International review of economics & finance : IREF
Journal of econometrics
Journal of quantitative economics : official journal of the Indian Econometric Society
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
2
Econometric reviews
1
Insurance / Mathematics & economics
1
International journal of forecasting
1
Journal of applied econometrics
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ECONIS (ZBW)
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1
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
2
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
3
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
4
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Saved in:
5
Bayesian inference for nonlinear structural time series models
Hall, Jamie
;
Pitt, Michael K.
;
Kohn, Robert
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 99-111
Persistent link: https://www.econbiz.de/10010372659
Saved in:
6
Pseudo-Gaussian and rank-based optimal tests for random individual effects in large small panels
Bennala, Nezar
;
Hallin, Marc
;
Paindaveine, Davy
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 50-67
Persistent link: https://www.econbiz.de/10009673156
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7
On some properties of Markov chain Monte Carlo simulation methods based on particular filter
Pitt, Michael K.
;
Santos Silva, Ralph dos
;
Giordani, Paolo
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 134-151
Persistent link: https://www.econbiz.de/10009691169
Saved in:
8
A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
Shively, Thomas S.
- In:
Journal of econometrics
76
(
1997
)
1
,
pp. 39-52
Persistent link: https://www.econbiz.de/10001211372
Saved in:
9
Nonparametric regression using Bayesian variable selection
Smith, Michael S.
- In:
Journal of econometrics
75
(
1996
)
2
,
pp. 317-343
Persistent link: https://www.econbiz.de/10001204706
Saved in:
10
Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
Barnett, Glen
- In:
Journal of econometrics
74
(
1996
)
2
,
pp. 237-254
Persistent link: https://www.econbiz.de/10001206889
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