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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Koopman, Siem Jan"
~person:"Wang, Shouyang"
~subject:"Autokorrelation"
~subject:"Bayesian inference"
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Search: subject_exact:"Estimation theory"
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Volatility
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19
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13
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13
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Koopman, Siem Jan
Wang, Shouyang
Lee, Lung-fei
17
Tsionas, Efthymios G.
11
Todorov, Viktor
10
Jin, Fei
9
Kumar, Dilip
9
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9
Tauchen, George Eugene
7
Wang, Hansheng
7
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7
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6
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6
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6
Mykland, Per A.
6
Sun, Yixiao
6
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5
Francq, Christian
5
Han, Xiaoyi
5
Koop, Gary
5
Li, Dong
5
Liu, Zhi
5
Maheswaran, S.
5
Teräsvirta, Timo
5
Zhang, Xibin
5
Allenby, Greg M.
4
Bauwens, Luc
4
Bollerslev, Tim
4
Chaturvedi, Anoop
4
Gallant, A. Ronald
4
Gupta, Abhimanyu
4
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4
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4
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4
Mancino, Maria Elvira
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Okui, Ryo
4
Poon, Aubrey
4
Sucarrat, Genaro
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4
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2
International journal of forecasting
1
Journal of international trade & commerce
1
Quantitative finance
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1
Penalized time-varying model averaging
Sun, Yuying
;
Hong, Yongmiao
;
Wang, Shouyang
;
Zhang, Xinyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1355-1377
Persistent link: https://www.econbiz.de/10014471396
Saved in:
2
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:
3
Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying
;
Qiao, Kenan
;
Wang, Shouyang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 865-879
Persistent link: https://www.econbiz.de/10012500201
Saved in:
4
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:
5
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
6
Threshold autoregressive models for interval-valued time series data
Sun, Yuying
;
Han, Ai
;
Hong, Yongmiao
;
Wang, Shouyang
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 414-446
Persistent link: https://www.econbiz.de/10012110403
Saved in:
7
An investigation of return and volatility linkages among stock markets : a study of emerging Asian and selected developed countries
Bhowmik, Roni
;
Wang, Shouyang
- In:
Journal of international trade & commerce
14
(
2018
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011948776
Saved in:
8
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:
9
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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