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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Koopman, Siem Jan"
~subject:"Estimation theory"
~subject:"Financial econometrics"
~subject:"Nonparametric statistics"
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Stochastischer Prozess
Volatility
Estimation theory
Financial econometrics
Nonparametric statistics
Schätztheorie
7
Time series analysis
4
Zeitreihenanalyse
4
Consistency
3
Asymptotic normality
2
Forecasting model
2
Invertibility
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Observation-driven models
2
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1
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1
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1
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Factor analysis
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Importance sampling
1
Indirect inference
1
Kalman filter
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Kapitaleinkommen
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1
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Koopman, Siem Jan
Phillips, Peter C. B.
32
Lee, Lung-fei
21
Linton, Oliver
21
Chen, Songnian
20
Su, Liangjun
18
Li, Qi
17
Robinson, Peter M.
17
Cai, Zongwu
13
Chen, Xiaohong
13
Gao, Jiti
13
Fan, Yanqin
12
Taylor, Robert
12
Andrews, Donald W. K.
11
Gouriéroux, Christian
11
Hsiao, Cheng
11
Park, Joon Y.
11
Sun, Yixiao
11
White, Halbert
11
Baltagi, Badi H.
10
Chib, Siddhartha
10
Florens, Jean-Pierre
10
Francq, Christian
10
Hong, Han
10
Newey, Whitney K.
10
Todorov, Viktor
10
Aït-Sahalia, Yacine
9
Horowitz, Joel
9
Kristensen, Dennis
9
Li, Degui
9
Pesaran, M. Hashem
9
Schmidt, Peter
9
Bai, Jushan
8
Lewbel, Arthur
8
Leybourne, Stephen James
8
Li, Dong
8
Magnus, Jan R.
8
Ng, Serena
8
Simar, Léopold
8
Tauchen, George Eugene
8
Zakoïan, Jean-Michel
8
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Journal of econometrics
Discussion paper / Tinbergen Institute
31
Discussion paper / Center for Economic Research, Tilburg University
3
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
3
Advances in econometrics
2
Econometric reviews
2
Suntory Toyota International Centre for Economics and Related Disciplines
2
Tinbergen Institute Discussion Paper 15-138/III
2
A history of market performance : from ancient Babylonia to the modern world
1
Discussion paper series / LSE Financial Markets Group
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
NBP working paper
1
Research memorandum series / Tinbergen Instituut
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
Tinbergen Discussion Paper
1
Tinbergen Institute 14-010/IV/71
1
Tinbergen Institute Discussion Paper 09-110/4
1
Tinbergen Institute Discussion Paper 11-090/4
1
Tinbergen Institute Discussion Paper 14-029/III
1
Tinbergen Institute Discussion Paper 14-046/III
1
Tinbergen Institute Discussion Paper 15-131/III, 2015
1
Tinbergen Institute Discussion Paper 16-082/III
1
Tinbergen Institute Discussion Paper 20-004/III
1
Tinbergen Institute Discussion Paper 2018-013/III
1
Tinbergen Institute Discussion Paper 2018-027/III
1
Tinbergen Institute Discussion Paper 2021-056/III
1
Tinbergen Institute Discussion Paper 2021-098/III
1
Working paper / Norges Bank
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ECONIS (ZBW)
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
A time-varying parameter model for local explosions
Blasques, Francisco
;
Koopman, Siem Jan
;
Nientker, Marc
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
Saved in:
3
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
4
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
7
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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