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subject:"Schätztheorie"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"McAleer, Michael"
~subject:"Insolvency"
~subject:"Volatilität"
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Schätztheorie
Insolvency
Volatilität
Theorie
22
Theory
22
Time series analysis
9
Zeitreihenanalyse
9
Estimation theory
5
Volatility
5
Econometrics
4
Stochastic process
4
Stochastischer Prozess
4
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4
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3
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2
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2
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1
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10
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Koopman, Siem Jan
McAleer, Michael
Steel, Mark F. J.
13
Borm, Peter
10
Werker, Bas J. M.
10
Chib, Siddhartha
9
Magnus, Jan R.
8
Drost, Feike C.
7
Fernández, Carmen
7
Osiewalski, Jacek
7
Soest, Arthur van
7
Aït-Sahalia, Yacine
6
Bollerslev, Tim
6
Gouriéroux, Christian
6
Hendrickx, Ruud L. P.
6
Kleijnen, Jack P. C.
6
Lee, Lung-fei
6
Li, Qi
6
Phillips, Peter C. B.
6
Diebold, Francis X.
5
Granger, C. W. J.
5
Groenendaal, Willem J. van
5
Härdle, Wolfgang
5
Kohn, Robert
5
Moors, Johannes J. A.
5
Nijman, Theodore E.
5
Renault, Eric
5
Schmidt, Peter
5
Andersen, Torben
4
Baillie, Richard
4
Baltagi, Badi H.
4
Banerjee, Anurag Narayan
4
Chen, Songnian
4
Franses, Philip Hans
4
Hallin, Marc
4
King, Maxwell L.
4
Lee, Myoung-jae
4
Melenberg, Bertrand
4
Shephard, Neil G.
4
Swanson, Norman R.
4
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Discussion paper / Center for Economic Research, Tilburg University
Journal of econometrics
Discussion paper / Tinbergen Institute
37
Econometric reviews
10
Working paper
9
Econometric Institute research papers
6
Working papers in quantitative economics and econometrics
5
Journal of applied econometrics
4
Discussion paper / Institute of Social and Economic Research
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Applied economics
2
Discussion papers / Institute of Social and Economic Research
2
Econometric theory
2
Economics letters
2
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
2
The Japanese economic review : the journal of the Japanese Economic Association
2
The review of economics and statistics
2
Working papers in economics and econometrics
2
Advances in econometrics
1
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
1
Econometrics : open access journal
1
Energy economics
1
Finance research letters
1
Handbook of applied econometrics and statistical inference
1
International economic review
1
International journal of economic theory
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic surveys
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of macroeconomics
1
Journal of quantitative economics : official journal of the Indian Econometric Society
1
L' Actualité économique : revue trimest.
1
L' économétrie appliquée
1
Oxford bulletin of economics and statistics
1
Report / Econometric Institute, Erasmus University Rotterdam
1
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
3
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
4
Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
Saved in:
5
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
6
Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan
;
Shephard, Neil G.
;
Doornik, Jurgen A.
-
1998
Persistent link: https://www.econbiz.de/10000167948
Saved in:
7
Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan
;
Durbin, James
-
1998
Persistent link: https://www.econbiz.de/10000981433
Saved in:
8
Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
Durbin, James
;
Koopman, Siem Jan
-
1998
Persistent link: https://www.econbiz.de/10000998337
Saved in:
9
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
10
Testing nested and non-nested periodically integrated autoregressive models
Franses, Philip Hans
;
McAleer, Michael
-
1995
Persistent link: https://www.econbiz.de/10000907435
Saved in:
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