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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Lucas, André"
~person:"Massmann, Michael"
~subject:"Adaptive learning"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
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Estimation theory
17
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1900-1988
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Alizadeh, Sassan
Lucas, André
Massmann, Michael
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Francq, Christian
8
Teräsvirta, Timo
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
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Hafner, Christian M.
5
Hurn, Stan
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Li, Dong
5
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4
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Fu, Michael
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Hadri, Kaddour
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International journal of forecasting
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ECONIS (ZBW)
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1
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
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2
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
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3
Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert
;
Massmann, Michael
- In:
Econometric theory
34
(
2018
)
1
,
pp. 68-111
Persistent link: https://www.econbiz.de/10011950924
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4
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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5
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:
6
Range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1047-1091
Persistent link: https://www.econbiz.de/10001684742
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