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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Koopman, Siem Jan"
~source:"econis"
~subject:"Nonparametric statistics"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Nonparametric statistics
Zeitreihenanalyse
Estimation theory
13
Schätztheorie
13
Time series analysis
8
Volatilität
5
Forecasting model
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Prognoseverfahren
4
Consistency
3
Kalman filter
3
State space model
3
Zustandsraummodell
3
Asymptotic normality
2
Bayes-Statistik
2
Bayesian inference
2
Estimation
2
Importance sampling
2
Invertibility
2
Observation-driven models
2
Schätzung
2
Stochastic process
2
Theorie
2
Theory
2
ARCH model
1
ARCH-Modell
1
Analysis of variance
1
Asymptotic theory
1
Autocorrelation
1
Autokorrelation
1
Autoregressive conditional duration
1
Bubbles
1
Börsenkurs
1
Capital income
1
Censored likelihood
1
Censored posterior
1
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Undetermined
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Article
11
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Aufsatz in Zeitschrift
Arbeitspapier
31
Graue Literatur
31
Non-commercial literature
31
Working Paper
31
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11
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2
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English
11
Author
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Koopman, Siem Jan
Linton, Oliver
42
Phillips, Peter C. B.
41
Li, Qi
36
Gao, Jiti
27
Su, Liangjun
25
Chen, Xiaohong
20
Florens, Jean-Pierre
19
Kumbhakar, Subal
19
Cai, Zongwu
18
Escanciano, Juan Carlos
18
Leybourne, Stephen James
18
Parmeter, Christopher F.
18
Racine, Jeffrey
18
Simar, Léopold
18
Tsionas, Efthymios G.
18
Ullah, Aman
18
Chen, Songnian
17
Kumar, Dilip
17
Robinson, Peter M.
17
Sun, Yiguo
17
Xiao, Zhijie
17
Harvey, Andrew C.
16
Li, Degui
16
Lütkepohl, Helmut
16
Taylor, Robert
16
Teräsvirta, Timo
16
Perron, Pierre
15
White, Halbert
15
Fan, Jianqing
14
Johansen, Søren
14
Kapetanios, George
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Hassler, Uwe
13
Horowitz, Joel
13
Tauchen, George Eugene
13
Baillie, Richard
12
Ghysels, Eric
12
Henderson, Daniel J.
12
Li, Jia
12
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Journal of econometrics
5
Econometric reviews
2
Advances in econometrics
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
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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
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:
3
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:
4
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
7
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:
8
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:
9
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
10
Messy time series : a unified approach
Harvey, Andrew C.
;
Koopman, Siem Jan
;
Penzer, Jeremy
-
1998
Persistent link: https://www.econbiz.de/10001362820
Saved in:
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