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subject:"Time series analysis"
~person:"Beaumont, Adrian"
~person:"Härdle, Wolfgang"
~person:"Martin, Gael M."
~subject:"Dynamic price and volatility jumps"
~subject:"Financial crisis"
~subject:"Prognoseverfahren"
~type_genre:"Graue Literatur"
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Time series analysis
Dynamic price and volatility jumps
Financial crisis
Prognoseverfahren
Theorie
212
Theory
212
Estimation theory
55
Schätztheorie
55
Zeitreihenanalyse
51
Nichtparametrisches Verfahren
44
Nonparametric statistics
44
Forecasting model
41
Estimation
40
Schätzung
40
Volatility
32
Volatilität
32
Regression analysis
31
Regressionsanalyse
31
Börsenkurs
29
Share price
29
Deutschland
20
Germany
20
Stochastic process
20
Stochastischer Prozess
20
Statistical distribution
16
Statistische Verteilung
16
Risikomaß
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Risk measure
15
Bayes-Statistik
13
Bayesian inference
13
Option pricing theory
13
Optionspreistheorie
13
State space model
13
USA
13
United States
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Zustandsraummodell
13
Bootstrap approach
10
Bootstrap-Verfahren
10
Credit rating
10
Kreditwürdigkeit
10
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10
Portfolio-Management
10
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72
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88
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Graue Literatur
Arbeitspapier
92
Working Paper
92
Non-commercial literature
88
Article in journal
25
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25
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12
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11
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4
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4
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2
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English
88
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Beaumont, Adrian
Härdle, Wolfgang
Martin, Gael M.
Franses, Philip Hans
73
Koopman, Siem Jan
66
Gil-Alaña, Luis A.
61
Marcellino, Massimiliano
56
Caporale, Guglielmo Maria
53
Phillips, Peter C. B.
50
Pesaran, M. Hashem
46
Clark, Todd E.
44
Dijk, Herman K. van
44
Sibbertsen, Philipp
40
Maravall Herrero, Agustín
39
Diebold, Francis X.
38
Hyndman, Rob J.
38
Kilian, Lutz
38
Timmermann, Allan
38
Kunst, Robert M.
37
Lux, Thomas
37
Koop, Gary
36
Lucas, André
36
Lütkepohl, Helmut
36
McAleer, Michael
36
Swanson, Norman R.
34
Feng, Yuanhua
32
Teräsvirta, Timo
31
Caballero, Ricardo J.
30
Beran, Jan
29
Ravazzolo, Francesco
29
Bauwens, Luc
24
Schorfheide, Frank
24
Sornette, Didier
24
Dijk, Dick van
22
Giannone, Domenico
22
Krishnamurthy, Arvind
22
Johansen, Søren
21
McCracken, Michael W.
21
Athanasopoulos, George
20
Bollerslev, Tim
20
Rossi, Barbara
20
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
8
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SFB 649 discussion paper
36
Working paper / Department of Econometrics and Business Statistics, Monash University
23
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Discussion papers of interdisciplinary research project 373
8
CORE discussion paper : DP
3
CFS working paper series
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Deutsche Bundesbank
1
Discussion papers / Department of Economics, University of Albany, State University of New York
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
IRTG 1792 discussion paper
1
Research paper / Quantitative Finance Research Group, University of Technology Sydney
1
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ECONIS (ZBW)
88
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88
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1
ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Solving the forecast combination puzzle
Frazier, David T.
;
Covey, Ryan
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452579
Saved in:
3
Bayesian forecasting in the 21st century : a modern review
Martin, Gael M.
;
Frazier, David T.
;
Loiza-Maya, Ruben
; …
-
2023
Persistent link: https://www.econbiz.de/10014315412
Saved in:
4
Variational Bayes in state space models : inferential and predictive accuracy
Frazier, David T.
;
Loiza-Maya, Ruben
;
Martin, Gael M.
-
2022
Persistent link: https://www.econbiz.de/10013193949
Saved in:
5
The impact of sampling variability on estimated combinations of distributional forecasts
Zischke, Ryan
;
Martin, Gael M.
;
Frazier, David T.
; …
-
2022
Persistent link: https://www.econbiz.de/10013494329
Saved in:
6
FRM Financial Risk Meter for emerging markets
Ben Amor, Souhir
;
Althof, Michael
;
Härdle, Wolfgang
-
2021
Persistent link: https://www.econbiz.de/10012500180
Saved in:
7
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
8
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
Saved in:
9
Forecasting observables with particle filters : any filter will do!
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2019
Persistent link: https://www.econbiz.de/10012606152
Saved in:
10
Approximate Bayesian forecasting
Frazier, David T.
;
Maneesoonthorn, Worapree
;
Martin, Gael M.
-
2018
Persistent link: https://www.econbiz.de/10012583287
Saved in:
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