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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~language:"eng"
~person:"Lucas, André"
~person:"Tauchen, George Eugene"
~subject:"Estimation theory"
~subject:"Share price"
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Stochastischer Prozess
Volatility
Estimation theory
Share price
Schätztheorie
4
Theorie
3
Theory
3
Estimation
2
Exchange rate
2
Schätzung
2
Wechselkurs
2
1900-1988
1
1987-1993
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Consumer price index
1
Control variables
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Deutsche Mark
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Efficient importance sampling
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European Monetary System
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French franc
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Kalman filter
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Method of moments
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Modellierung
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Momentenmethode
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Monte-Carlo-Simulation
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Numerical integration
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Portfolio selection
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Portfolio-Management
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Risiko
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Lucas, André
Tauchen, George Eugene
Li, Qi
9
Su, Liangjun
7
Gao, Jiti
6
Lan, Wei
6
Wang, Hansheng
6
Hansen, Christian Bailey
5
Lechner, Michael
5
Racine, Jeffrey
5
Ahn, Hyungtaik
4
Caner, Mehmet
4
Ghysels, Eric
4
Gospodinov, Nikolaj
4
Hansen, Bruce E.
4
Härdle, Wolfgang
4
Ichimura, Hidehiko
4
Li, Dong
4
Liesenfeld, Roman
4
Ling, Shiqing
4
Powell, James
4
Ruud, Paul Arthur
4
Tsai, Chih-Ling
4
Zhang, Xinyu
4
Bauwens, Luc
3
Bollerslev, Tim
3
Cai, Zongwu
3
Cheung, Yin-Wong
3
Fan, Jianqing
3
Franses, Philip Hans
3
González-Rivera, Gloria
3
Hall, Alastair R.
3
Han, Xu
3
Hsu, Yu-Chin
3
Huber, Martin
3
Kong, Xinbing
3
Koop, Gary
3
Li, Degui
3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Discussion paper / Tinbergen Institute
20
Journal of econometrics
11
ERID working paper
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Econometric reviews
3
Econometric theory
3
Economics letters
3
International journal of forecasting
2
Report / Econometric Institute, Erasmus University Rotterdam
2
Working paper series economics and econometrics
2
Advances in economics and econometrics: theory and applications ; Vol. 3
1
Computation and estimation in finance and economics
1
Discussion paper / Tinbergen Institue / Tinbergen Institute
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion papers in economics
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Journal of financial econometrics
1
Journal of forecasting
1
Macroeconomic dynamics
1
NBP working paper
1
Nonparametric dynamic modelling
1
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Sveriges Riksbank working paper series
1
The review of economics and statistics
1
Tools and techniques
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ECONIS (ZBW)
4
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1
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
2
Testing target-zone models using efficient method of moments
Chung, Chae-shick
;
Tauchen, George Eugene
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
3
,
pp. 255-269
Persistent link: https://www.econbiz.de/10001603242
Saved in:
3
A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
Saved in:
4
Outlier detection in cointegration analysis
Franses, Philip Hans
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 459-468
Persistent link: https://www.econbiz.de/10001251800
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