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subject:"Forecasting model"
subject:"United Kingdom"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Bayes-Statistik"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Forecasting model
United Kingdom
Bayes-Statistik
Volatility
Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
14
Regressionsanalyse
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Cointegration
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cointegration
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Nichtlineare Regression
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Nonlinear regression
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Statistische Verteilung
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Structural break
7
Strukturbruch
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VAR model
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Einheitswurzeltest
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Abbara, Omar
1
Anatolyev, Stanislav
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Baruník, Jozef
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Bekiros, Stelios
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Blazsek, Szabolcs
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Bu, Ruijun
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
226
International journal of forecasting
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
105
Journal of forecasting
74
Economics letters
62
Discussion paper / Tinbergen Institute
51
Working paper / Department of Econometrics and Business Statistics, Monash University
41
Econometric reviews
39
Economic modelling
35
Journal of empirical finance
34
Econometric theory
30
The econometrics journal
29
Journal of applied econometrics
28
Journal of the American Statistical Association : JASA
28
CREATES research paper
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Discussion paper
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European journal of operational research : EJOR
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Journal of banking & finance
22
Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance research letters
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NBER Working Paper
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NBER working paper series
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Oxford bulletin of economics and statistics
21
Quantitative finance
21
Working paper
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Computational economics
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Discussion papers / CEPR
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Applied economics
19
Journal of financial econometrics
19
Insurance / Mathematics & economics
18
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
18
Applied economics letters
17
CESifo working papers
17
Working paper / National Bureau of Economic Research, Inc.
17
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CEMMAP working papers / Centre for Microdata Methods and Practice
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
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2
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
3
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
6
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
7
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
8
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
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9
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
10
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
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