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subject:"United States"
type_genre:"Article in journal"
~language:"eng"
~person:"Koopman, Siem Jan"
~person:"Nelson, Charles R."
~subject:"Börsenkurs"
~subject:"Volatilität"
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Search: subject_exact:"Estimation"
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United States
Börsenkurs
Volatilität
Estimation
31
Schätzung
31
Theorie
17
Theory
17
USA
16
Time series analysis
15
Zeitreihenanalyse
15
Factor analysis
6
Faktorenanalyse
6
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Article
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Article in journal
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English
Author
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Koopman, Siem Jan
Nelson, Charles R.
Gupta, Rangan
110
Bahmani-Oskooee, Mohsen
53
Gil-Alaña, Luis A.
52
Wohar, Mark E.
51
Caporale, Guglielmo Maria
43
Tiwari, Aviral Kumar
38
McMillan, David G.
37
Pierdzioch, Christian
35
Zaremba, Adam
35
Narayan, Paresh Kumar
32
Ma, Feng
31
Balcilar, Mehmet
29
Bollerslev, Tim
28
McAleer, Michael
28
Bouri, Elie
27
Xuan Vinh Vo
27
Apergēs, Nikolaos
25
Todorov, Viktor
25
Lee, Chien-chiang
23
Brooks, Robert
21
Kumar, Dilip
21
Hsing, Yu
20
Belke, Ansgar
19
Jawadi, Fredj
19
Salisu, Afees A.
19
Wang, Yudong
19
Chiang, Thomas C.
18
Kang, Sang Hoon
18
Serletis, Apostolos
18
Yoon, Seong-min
18
Zhang, Yaojie
18
Hammoudeh, Shawkat
17
Mensi, Walid
17
Payne, James E.
17
Bali, Turan G.
16
Demirer, Rıza
16
Hegerty, Scott W.
16
Rashid, Abdul
16
Tauchen, George Eugene
16
Asai, Manabu
15
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Journal of empirical finance
3
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of money, credit and banking : JMCB
2
Oxford bulletin of economics and statistics
2
The review of economics and statistics
2
Econometric reviews
1
Economics letters
1
Journal of econometrics
1
Journal of financial econometrics
1
Journal of monetary economics
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
1
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ECONIS (ZBW)
21
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1
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
Saved in:
2
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
3
Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele
;
Hindrayanto, Irma
;
Koopman, Siem Jan
; …
- In:
Economics letters
145
(
2016
),
pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
Saved in:
4
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
5
Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi
;
Nelson, Charles R.
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
Saved in:
6
Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
Saved in:
7
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
8
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
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
Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan
;
Ooms, Marius
;
Hindrayanto, Irma
- In:
Oxford bulletin of economics and statistics
71
(
2009
)
5
,
pp. 683-713
Persistent link: https://www.econbiz.de/10003875192
Saved in:
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