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subject:"Estimation"
subject:"Volatilität"
~accessRights:"restricted"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~subject:"Censored likelihood"
~subject:"Factor analysis"
~subject:"Time series analysis"
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Estimation
Volatilität
Censored likelihood
Factor analysis
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Estimation theory
8
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8
Zeitreihenanalyse
6
Consistency
3
Forecasting model
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
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Double bounded time series
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Koopman, Siem Jan
Phillips, Peter C. B.
11
Linton, Oliver
9
Gao, Jiti
8
Todorov, Viktor
8
Zhu, Ke
7
Li, Degui
6
Li, Jia
6
Li, Kunpeng
6
Li, Yingying
6
Andersen, Torben
5
Cai, Zongwu
5
Davis, Richard A.
5
Francq, Christian
5
Kim, Donggyu
5
Su, Liangjun
5
Tauchen, George Eugene
5
Teräsvirta, Timo
5
Baltagi, Badi H.
4
Blasques, Francisco
4
Dong, Chaohua
4
Fan, Jianqing
4
Hsiao, Cheng
4
Mykland, Per A.
4
Park, Joon Y.
4
Peng, Bin
4
Sun, Yiguo
4
Taylor, Robert
4
Varneskov, Rasmus Tangsgaard
4
Wang, Shouyang
4
Zakoïan, Jean-Michel
4
Zheng, Xinghua
4
Aït-Sahalia, Yacine
3
Bai, Jushan
3
Bohn Nielsen, Heino
3
Bollerslev, Tim
3
Callaway, Brantly
3
Chen, Xiaohong
3
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3
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Econometric reviews
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International journal of forecasting
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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
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
5
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:
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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