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subject:"Time series analysis"
~person:"Beaumont, Adrian"
~person:"Martin, Gael M."
~subject:"Dynamic price and volatility jumps"
~subject:"Financial crisis"
~subject:"Prognoseverfahren"
~subject:"Volatilität"
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Time series analysis
Dynamic price and volatility jumps
Financial crisis
Prognoseverfahren
Volatilität
Theorie
42
Theory
42
Forecasting model
24
State space model
16
Zeitreihenanalyse
16
Zustandsraummodell
16
Bayes-Statistik
14
Bayesian inference
14
Volatility
12
Stochastic process
11
Stochastischer Prozess
11
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7
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7
Estimation
6
Markov chain
6
Markov-Kette
6
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6
Financial market
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Finanzmarkt
5
Proper scoring rules
5
Bayesian Markov chain Monte Carlo
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Bayesian prediction
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Börsenkurs
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Finanzkrise
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Global financial crisis
4
Nonlinear state space model
4
Probability theory
4
Share price
4
Stochastic volatility
4
Wahrscheinlichkeitsrechnung
4
Demand
3
Hawkes process
3
Likelihood-free methods
3
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3
Statistical distribution
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English
36
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Beaumont, Adrian
Martin, Gael M.
Franses, Philip Hans
188
Diebold, Francis X.
168
Koopman, Siem Jan
147
Phillips, Peter C. B.
141
Härdle, Wolfgang
120
Timmermann, Allan
113
Gil-Alaña, Luis A.
111
Caporale, Guglielmo Maria
103
McAleer, Michael
96
Pesaran, M. Hashem
96
Clark, Todd E.
93
Marcellino, Massimiliano
91
Bollerslev, Tim
90
Lütkepohl, Helmut
89
Koop, Gary
85
Swanson, Norman R.
85
Caballero, Ricardo J.
83
Granger, C. W. J.
83
Clements, Michael P.
81
Gupta, Rangan
77
Hendry, David F.
72
Ghysels, Eric
71
Dijk, Herman K. van
70
Teräsvirta, Timo
70
Hyndman, Rob J.
66
Herwartz, Helmut
65
Kilian, Lutz
65
Krishnamurthy, Arvind
64
Schorfheide, Frank
64
Engle, Robert F.
63
Lux, Thomas
63
Ravazzolo, Francesco
63
Harvey, Andrew C.
62
Lucas, André
62
Pierdzioch, Christian
59
Sibbertsen, Philipp
58
Kunst, Robert M.
57
Maravall Herrero, Agustín
56
Aizenman, Joshua
55
Bauwens, Luc
55
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Working paper / Department of Econometrics and Business Statistics, Monash University
24
International journal of forecasting
7
Discussion papers / Department of Economics, University of Albany, State University of New York
1
Econometric reviews
1
Journal of applied econometrics
1
Journal of multinational financial management
1
Proceedings of the 1995 Econometrics Conference at Monash : Melbourne, Victoria, 13 - 14 July 1995
1
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ECONIS (ZBW)
36
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1
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:
2
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:
3
Solving the forecast combination puzzle
Frazier, David T.
;
Covey, Ryan
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452579
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
Bayesian forecasting in economics and finance : a modern review
Martin, Gael M.
;
Frazier, David T.
;
Maneesoonthorn, Worapree
- In:
International journal of forecasting
40
(
2024
)
2
,
pp. 811-839
Persistent link: https://www.econbiz.de/10014547209
Saved in:
7
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:
8
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
9
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Maneesoonthorn, Worapree
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 384-406
Persistent link: https://www.econbiz.de/10013347814
Saved in:
10
Forecasting : theory and practice
Petropoulos, Fotios
;
Apiletti, Daniele
;
Assimakopoulos, V.
- In:
International journal of forecasting
38
(
2022
)
3
,
pp. 705-871
Persistent link: https://www.econbiz.de/10013349395
Saved in:
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