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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Koopman, Siem Jan"
~person:"Lesage, James P."
~subject:"Autoregressive conditional duration"
~subject:"Bayesian inference"
~subject:"Prognoseverfahren"
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Volatility
Autoregressive conditional duration
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Estimation theory
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Koopman, Siem Jan
Lesage, James P.
Tsionas, Efthymios G.
12
Li, Jia
10
Todorov, Viktor
10
Kumar, Dilip
9
Zhang, Xinyu
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Shang, Han Lin
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6
Demetrescu, Matei
5
Francq, Christian
5
Han, Xiaoyi
5
Koop, Gary
5
Maheswaran, S.
5
Taylor, James W.
5
Taylor, Robert
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Zhang, Xibin
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Allenby, Greg M.
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Ardia, David
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Baltagi, Badi H.
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Bauwens, Luc
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Panagiotelis, Anastasios
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Rodrigues, Paulo M. M.
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Journal of econometrics
3
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1
International journal of forecasting
1
Journal of geographical systems : geographical information, analysis, theory, and decision
1
Papers in regional science : the journal of the Regional Science Association International
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1
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:
2
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:
3
Cross-sectional dependence model specifications in a static trade panel data setting
Lesage, James P.
;
Fischer, Manfred M.
- In:
Journal of geographical systems : geographical …
22
(
2020
)
1
,
pp. 5-46
Persistent link: https://www.econbiz.de/10012237476
Saved in:
4
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:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
7
Using Bayesian posterior model probabilities to identify omitted variables in spatial regression models
Lacombe, Donald J.
;
Lesage, James P.
- In:
Papers in regional science : the journal of the …
94
(
2015
)
2
,
pp. 365-383
Persistent link: https://www.econbiz.de/10011545150
Saved in:
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