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subject:"Schätztheorie"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"Renault, Eric"
~subject:"Insolvency"
~subject:"Volatilität"
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Schätztheorie
Insolvency
Volatilität
Theorie
21
Theory
21
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6
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5
Zeitreihenanalyse
5
Estimation theory
4
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Koopman, Siem Jan
Renault, Eric
Steel, Mark F. J.
13
Borm, Peter
10
Werker, Bas J. M.
10
Chib, Siddhartha
9
Magnus, Jan R.
8
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7
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7
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7
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7
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6
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6
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6
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6
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6
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6
Li, Qi
6
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6
Diebold, Francis X.
5
Granger, C. W. J.
5
Groenendaal, Willem J. van
5
Härdle, Wolfgang
5
Kohn, Robert
5
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5
Moors, Johannes J. A.
5
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5
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5
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4
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4
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4
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4
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4
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4
Hallin, Marc
4
King, Maxwell L.
4
Lee, Myoung-jae
4
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4
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4
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4
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Discussion paper / Center for Economic Research, Tilburg University
Journal of econometrics
Discussion paper / Tinbergen Institute
28
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4
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Empirical economics. - 1990. - VI, 260 S. - Enth. 10 Beitr.
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1
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1
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1
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ECONIS (ZBW)
10
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1
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
2
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:
3
Garch and irregularly spaced data
Meddahi, Nour
(
contributor
);
Renault, Eric
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001774184
Saved in:
4
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
5
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
Saved in:
6
Temporal aggregation of volatility models
Meddahi, Nour
;
Renault, Eric
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Saved in:
7
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:
8
Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan
;
Durbin, James
-
1998
Persistent link: https://www.econbiz.de/10000981433
Saved in:
9
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:
10
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:
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