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subject:"Deutschland"
subject:"Forecasting model"
~person:"Bauwens, Luc"
~person:"Francq, Christian"
~person:"Koop, Gary"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
ARCH-Modell
Estimation theory
59
Schätztheorie
59
Time series analysis
24
Zeitreihenanalyse
24
Theorie
19
Theory
19
Estimation
16
Schätzung
16
Volatility
12
Volatilität
12
Prognoseverfahren
11
Bayes-Statistik
10
Bayesian inference
10
Börsenkurs
9
Share price
9
VAR model
8
VAR-Modell
8
Forecasting
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Regression analysis
5
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5
Risikomaß
5
Risk measure
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Capital income
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Correlation
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Induktive Statistik
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Kapitaleinkommen
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Korrelation
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Statistical inference
4
Stochastic process
4
Stochastischer Prozess
4
Analysis of variance
3
Markov chain
3
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3
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3
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29
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Aufsatz in Zeitschrift
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English
29
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Bauwens, Luc
Francq, Christian
Koop, Gary
Zakoïan, Jean-Michel
14
Teräsvirta, Timo
13
Kumar, Dilip
12
Lütkepohl, Helmut
11
Rahbek, Anders
8
Tsay, Ruey S.
8
Cai, Zongwu
7
Ling, Shiqing
7
Linton, Oliver
7
Swanson, Norman R.
7
Ardia, David
6
Baltagi, Badi H.
6
Demetrescu, Matei
6
Kapetanios, George
6
Kim, Donggyu
6
Lahiri, Kajal
6
Maheswaran, S.
6
Paolella, Marc S.
6
Peng, Liang
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Taylor, James W.
6
Baillie, Richard
5
Chan, Ngai Hang
5
Fosten, Jack
5
Hafner, Christian M.
5
Horváth, Lajos
5
Krämer, Walter
5
Lechner, Michael
5
Lee, Ji Hyung
5
Li, Guodong
5
Luger, Richard
5
McAleer, Michael
5
McCracken, Michael W.
5
Rossi, Barbara
5
Shi, Yanlin
5
Sucarrat, Genaro
5
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Journal of econometrics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
2
International journal of forecasting
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Journal of empirical finance
1
Journal of the American Statistical Association : JASA
1
National Institute economic review : journal of the National Institute of Economic and Social Research
1
The review of economic studies
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ECONIS (ZBW)
29
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10
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29
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
2
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
3
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
4
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
5
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
6
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
7
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
10
Reconciled estimates and nowcasts of regional output in the UK
Koop, Gary
;
McIntyre, Stuart
;
Mitchell, James
;
Poon, Aubrey
- In:
National Institute economic review : journal of the …
253
(
2020
)
1
,
pp. R44-R59
Persistent link: https://www.econbiz.de/10012258699
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