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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"
~type:"book"
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Time series analysis
Dynamic price and volatility jumps
Financial crisis
Prognoseverfahren
Theorie
28
Theory
28
Forecasting model
17
State space model
12
Zustandsraummodell
12
Zeitreihenanalyse
11
Bayes-Statistik
10
Bayesian inference
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Stochastischer Prozess
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Volatility
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Volatilität
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Markov chain
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Markov-Kette
4
Bayesian Markov chain Monte Carlo
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Börsenkurs
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Financial market
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Finanzmarkt
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Global financial crisis
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Nonlinear state space model
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Probability theory
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Stochastic volatility
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Bootstrap approach
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Beaumont, Adrian
Martin, Gael M.
Franses, Philip Hans
108
Diebold, Francis X.
105
Koopman, Siem Jan
101
Härdle, Wolfgang
83
Phillips, Peter C. B.
76
Caporale, Guglielmo Maria
70
Clark, Todd E.
69
Pesaran, M. Hashem
68
Timmermann, Allan
68
Gil-Alaña, Luis A.
64
Marcellino, Massimiliano
63
Caballero, Ricardo J.
56
Krishnamurthy, Arvind
54
Swanson, Norman R.
53
Dijk, Herman K. van
52
Kilian, Lutz
50
Koop, Gary
50
Ravazzolo, Francesco
48
Schorfheide, Frank
48
Lütkepohl, Helmut
47
McAleer, Michael
45
Granger, C. W. J.
44
Lux, Thomas
43
Sibbertsen, Philipp
43
Maravall Herrero, Agustín
42
McCracken, Michael W.
42
Teräsvirta, Timo
42
Hyndman, Rob J.
41
Giannone, Domenico
40
Kunst, Robert M.
40
Lucas, André
39
Armstrong, J. Scott
37
Sornette, Didier
36
Bauwens, Luc
35
Bollerslev, Tim
35
Gao, Jiti
35
Clements, Michael P.
34
Kapetanios, George
34
Engle, Robert F.
33
Feng, Yuanhua
33
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Working paper / Department of Econometrics and Business Statistics, Monash University
23
Discussion papers / Department of Economics, University of Albany, State University of New York
1
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ECONIS (ZBW)
24
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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
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
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
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:
9
Approximate Bayesian forecasting
Frazier, David T.
;
Maneesoonthorn, Worapree
;
Martin, Gael M.
-
2018
Persistent link: https://www.econbiz.de/10012583287
Saved in:
10
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
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