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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"
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Time series analysis
Dynamic price and volatility jumps
Financial crisis
Prognoseverfahren
Theorie
41
Theory
41
Forecasting model
23
State space model
16
Zeitreihenanalyse
16
Zustandsraummodell
16
Bayes-Statistik
13
Bayesian inference
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Volatility
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Volatilität
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Stochastic process
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Stochastischer Prozess
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Markov chain
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Markov-Kette
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Proper scoring rules
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Bayesian Markov chain Monte Carlo
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Börsenkurs
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Financial market
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Finanzkrise
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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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Share price
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Stochastic volatility
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Wahrscheinlichkeitsrechnung
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Bayesian prediction
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Hawkes process
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Beaumont, Adrian
Martin, Gael M.
Franses, Philip Hans
184
Diebold, Francis X.
142
Phillips, Peter C. B.
134
Koopman, Siem Jan
131
Gil-Alaña, Luis A.
106
Härdle, Wolfgang
102
Timmermann, Allan
101
Caporale, Guglielmo Maria
95
Pesaran, M. Hashem
91
Marcellino, Massimiliano
88
Clark, Todd E.
86
Swanson, Norman R.
85
Lütkepohl, Helmut
81
Clements, Michael P.
80
Granger, C. W. J.
80
Koop, Gary
79
Hendry, David F.
72
Caballero, Ricardo J.
71
McAleer, Michael
69
Teräsvirta, Timo
68
Dijk, Herman K. van
66
Kilian, Lutz
64
Schorfheide, Frank
64
Gupta, Rangan
63
Hyndman, Rob J.
63
Krishnamurthy, Arvind
62
Ravazzolo, Francesco
62
Ghysels, Eric
56
Harvey, Andrew C.
55
Maravall Herrero, Agustín
55
Sibbertsen, Philipp
55
Lucas, André
54
Kunst, Robert M.
53
McCracken, Michael W.
53
Stock, James H.
53
Engle, Robert F.
52
Lux, Thomas
52
Bollerslev, Tim
51
Watson, Mark W.
49
Dijk, Dick van
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Working paper / Department of Econometrics and Business Statistics, Monash University
23
International journal of forecasting
6
Discussion papers / Department of Economics, University of Albany, State University of New York
1
Journal of applied econometrics
1
Proceedings of the 1995 Econometrics Conference at Monash : Melbourne, Victoria, 13 - 14 July 1995
1
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ECONIS (ZBW)
32
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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
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:
9
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:
10
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
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