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subject:"Portfolio selection"
type_genre:"Multi-volume publication"
~person:"Koopman, Siem Jan"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
~type_genre:"Collection of articles of several authors"
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Portfolio selection
Zeitreihenanalyse
Theorie
42
Theory
42
Time series analysis
25
State space model
15
Zustandsraummodell
15
Estimation
13
Schätzung
13
Forecasting model
12
Prognoseverfahren
12
Volatility
8
Volatilität
8
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Bayes-Statistik
6
Bayesian inference
6
Factor analysis
6
Faktorenanalyse
6
Stochastic process
6
Stochastischer Prozess
6
USA
6
United States
6
Correlation
5
Kalman filter
5
Korrelation
5
Multivariate Analyse
5
Multivariate analysis
5
ARCH model
4
ARCH-Modell
4
Credit risk
4
Kreditrisiko
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Business cycle
3
Börsenkurs
3
Capital income
3
EU countries
3
EU-Staaten
3
Economic forecast
3
Großbritannien
3
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11
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Article
25
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1
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Multi-volume publication
Article in journal
Bibliografie
Collection of articles of several authors
Arbeitspapier
68
Working Paper
68
Graue Literatur
63
Non-commercial literature
63
Aufsatz in Zeitschrift
25
Aufsatz im Buch
2
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2
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1
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English
26
Author
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Koopman, Siem Jan
Fabozzi, Frank J.
59
Phillips, Peter C. B.
56
Franses, Philip Hans
52
Gil-Alaña, Luis A.
47
Korn, Ralf
30
Perron, Pierre
29
Taylor, Robert
28
Escobar, Marcos
26
Wong, Wing Keung
26
Caporale, Guglielmo Maria
25
Harvey, Andrew C.
25
Leybourne, Stephen James
25
Li, Duan
25
Koop, Gary
24
Hecq, Alain W. J.
22
Lütkepohl, Helmut
22
Satchell, Stephen
22
Engle, Robert F.
21
Granger, C. W. J.
21
Hendry, David F.
21
Lucas, André
21
Markowitz, Harry
21
Newbold, Paul
21
Zagst, Rudi
21
Hong, Yongmiao
20
McAleer, Michael
20
Pesaran, M. Hashem
20
Prigent, Jean-Luc
20
Gupta, Rangan
19
Hassler, Uwe
19
Hyndman, Rob J.
19
Mills, Terence C.
19
Teräsvirta, Timo
19
Forsyth, Peter A.
18
Ghysels, Eric
18
Härdle, Wolfgang
18
Petropoulos, Fotios
18
Post, Thierry
18
Swanson, Norman R.
18
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Institution
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Conference State Space and Unobserved Component Models <2002, Amsterdam>
1
Published in...
All
International journal of forecasting
6
Journal of applied econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
The econometrics journal
2
Advances in econometrics
1
Applied economics
1
Economics letters
1
Energy economics
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
The review of economics and statistics
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
1
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ECONIS (ZBW)
26
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1
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel
;
Hillebrand, Eric
;
Koopman, Siem Jan
- In:
Energy economics
96
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818590
Saved in:
2
Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
; …
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1426-1441
Persistent link: https://www.econbiz.de/10013274289
Saved in:
3
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Gorgi, Paolo
;
Koopman, Siem Jan
;
Li, Mengheng
- In:
International journal of forecasting
35
(
2019
)
4
,
pp. 1735-1747
Persistent link: https://www.econbiz.de/10012305526
Saved in:
4
Forecasting football match results in national league competitions using score-driven time series models
Koopman, Siem Jan
;
Lit, Rutger
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 797-809
Persistent link: https://www.econbiz.de/10012300729
Saved in:
5
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
6
Global credit risk : world, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
Saved in:
7
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
8
Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
The review of economics and statistics
98
(
2016
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011477094
Saved in:
9
Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele
;
Hindrayanto, Irma
;
Koopman, Siem Jan
; …
- In:
Economics letters
145
(
2016
),
pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
Saved in:
10
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
Saved in:
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