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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Clements, Adam"
~person:"Koop, Gary"
~person:"Koopman, Siem Jan"
~subject:"Bayesian inference"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Estimation theory
17
Schätztheorie
17
Forecasting model
11
Prognoseverfahren
11
Time series analysis
11
Zeitreihenanalyse
11
Bayes-Statistik
7
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VAR model
4
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Article in journal
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12
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12
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Clements, Adam
Koop, Gary
Koopman, Siem Jan
Li, Jia
10
Todorov, Viktor
10
Tsionas, Efthymios G.
10
Kumar, Dilip
9
Tauchen, George Eugene
7
Kim, Donggyu
6
Li, Yingying
6
Liu, Zhi
6
Mykland, Per A.
6
Zhang, Xinyu
6
Andersen, Torben
5
Francq, Christian
5
Han, Xiaoyi
5
Maheswaran, S.
5
Zhang, Xibin
5
Allenby, Greg M.
4
Bauwens, Luc
4
Bollerslev, Tim
4
Chaturvedi, Anoop
4
Gallant, A. Ronald
4
Mancino, Maria Elvira
4
Poon, Aubrey
4
Sucarrat, Genaro
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Ardia, David
3
Bollinger, Christopher R.
3
Buccheri, Giuseppe
3
Fan, Jianqing
3
Gao, Jiti
3
Hasselt, Martijn van
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
3
Lee, Kyungsub
3
Li, Wai Keung
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International journal of forecasting
4
Journal of econometrics
2
Econometric reviews
1
Economics letters
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
National Institute economic review : journal of the National Institute of Economic and Social Research
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
12
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
3
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
4
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
Saved in:
5
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
6
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
7
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
8
Reconciled estimates and nowcasts of regional output in the UK
Koop, Gary
;
McIntyre, Stuart
;
Mitchell, James
;
Poon, Aubrey
- In:
National Institute economic review : journal of the …
253
(
2020
)
1
,
pp. R44-R59
Persistent link: https://www.econbiz.de/10012258699
Saved in:
9
Computationally efficient inference in large Bayesian mixed frequency VARs
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
Economics letters
191
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012508486
Saved in:
10
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
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