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source:"econis"
~person:"Chan, Joshua"
~person:"Saikkonen, Pentti"
~subject:"ARCH model"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Time series analysis"
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ARCH model
Stochastischer Prozess
Time series analysis
105
Zeitreihenanalyse
105
Theorie
67
Theory
67
VAR model
40
VAR-Modell
40
Estimation
31
Schätzung
31
Bayes-Statistik
28
Bayesian inference
28
Estimation theory
26
Schätztheorie
26
Forecasting model
23
Prognoseverfahren
23
Stochastic process
23
Volatility
21
Volatilität
21
State space model
16
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16
ARCH-Modell
12
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12
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12
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Heteroscedasticity
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Heteroskedastizität
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English
35
Author
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Chan, Joshua
Saikkonen, Pentti
McAleer, Michael
68
Koopman, Siem Jan
49
Phillips, Peter C. B.
38
Gil-Alaña, Luis A.
32
Teräsvirta, Timo
29
Caporin, Massimiliano
27
Gao, Jiti
27
Lütkepohl, Helmut
25
Lucas, André
24
Caporale, Guglielmo Maria
22
Asai, Manabu
20
Hafner, Christian M.
20
Blasques, Francisco
18
Gupta, Rangan
17
Shephard, Neil G.
17
Härdle, Wolfgang
16
Tauchen, George Eugene
16
Bauwens, Luc
15
Hallin, Marc
15
Harvey, Andrew C.
15
Rodriguez, Gabriel
15
Todorov, Viktor
15
Bos, Charles S.
14
Chang, Chia-Lin
14
Lux, Thomas
14
Taylor, Robert
14
Allen, David E.
13
Hansen, Peter Reinhard
13
Medeiros, Marcelo C.
13
Engle, Robert F.
12
Francq, Christian
12
Huang, Zhuo
12
Nielsen, Morten Ørregaard
12
Yu, Jun
12
Li, Wai Keung
11
Marcellino, Massimiliano
11
Nelson, Daniel B.
11
Rahbek, Anders
11
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European University Institute / Department of Economics
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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CAMA working paper series
9
Journal of econometrics
3
Koç University - TÜSİAD Economic Research Forum working paper series
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
GRIPS discussion papers
2
International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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1
CREATES Research Paper 2008-30
1
Department of Economics discussion paper series / University of Oxford
1
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1
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1
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1
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ECONIS (ZBW)
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1
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
2
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
3
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
4
Bayesian state space models in macroeconometrics
Chan, Joshua
;
Strachan, Rodney W.
- In:
Journal of economic surveys
37
(
2023
)
1
,
pp. 58-75
Persistent link: https://www.econbiz.de/10014287769
Saved in:
5
Bayesian state space models in macroeconometrics
Chan, Joshua
;
Strachan, Rodney W.
-
2020
Persistent link: https://www.econbiz.de/10012533935
Saved in:
6
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Yu, Xuewen
-
2020
Persistent link: https://www.econbiz.de/10012542396
Saved in:
7
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2020
-
This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
Saved in:
8
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Yu, Xuewen
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
Saved in:
9
Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua
-
2019
Persistent link: https://www.econbiz.de/10012224435
Saved in:
10
Large hybrid time-varying parameter VARs
Chan, Joshua
-
2019
Persistent link: https://www.econbiz.de/10012224555
Saved in:
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