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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Monte Carlo simulation"
~subject:"Time series analysis"
~subject:"USA"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Monte Carlo simulation
Time series analysis
USA
Zeitreihenanalyse
Estimation theory
107
Schätztheorie
107
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
15
Regressionsanalyse
15
Cointegration
13
Kointegration
13
Markov chain
11
Markov-Kette
11
Monte-Carlo-Simulation
11
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11
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8
cointegration
8
Nichtlineare Regression
7
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7
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7
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7
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6
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Article
65
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Article in journal
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65
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English
65
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Enders, Walter
2
Li, Jing
2
Teräsvirta, Timo
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Baillie, Richard
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bekiros, Stelios
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Candelon, Bertrand
1
Carnero, M. Angeles
1
Celani, Alessandro
1
Chan, Jennifer So Kuen
1
Chang, Sheng-kai
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Croux, Christophe
1
Cuestas, Juan Carlos
1
Daníelsson, Jón
1
De Angelis, Luca
1
Donfack, Morvan Nongni
1
Dufays, Arnaud
1
Dungey, Mardi H.
1
Ericsson, Neil R.
1
Escribano, Álvaro
1
Falk, Barry
1
Feld, Martin H.-J. M.
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Fernández, Viviana
1
Flachaire, Emmanuel
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Gil-Alaña, Luis A.
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Gong, Jinguo
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Harvey, David I.
1
Haurin, Donald R.
1
Hauzenberger, Niko
1
Hecq, Alain W. J.
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
417
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
246
Economics letters
186
Econometric theory
180
Econometric reviews
113
International journal of forecasting
76
Applied economics letters
66
Journal of forecasting
66
Econometrics : open access journal
59
The econometrics journal
57
Applied economics
56
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
56
The review of economics and statistics
55
Journal of applied econometrics
54
Economic modelling
53
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
53
Computational economics
51
Journal of the American Statistical Association : JASA
47
Journal of time series econometrics
42
Journal of empirical finance
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
Oxford bulletin of economics and statistics
32
Finance research letters
28
Journal of economic dynamics & control
27
American journal of agricultural economics
26
Journal of banking & finance
26
Journal of risk and financial management : JRFM
24
European journal of operational research : EJOR
22
Journal of financial econometrics
21
The review of economic studies
21
Journal of macroeconomics
20
Quantitative economics : QE ; journal of the Econometric Society
20
Quantitative finance
20
The journal of futures markets
20
International journal of theoretical and applied finance
18
The North American journal of economics and finance : a journal of financial economics studies
17
International economic review
16
International journal of economics and financial issues : IJEFI
16
Journal of financial and quantitative analysis : JFQA
16
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ECONIS (ZBW)
65
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1
Markov-switching models with unknown error distributions : identification and inference within the Bayesian framework
Hwu, Shih-Tang
;
Kim, Chang-jin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 177-199
Persistent link: https://www.econbiz.de/10014631899
Saved in:
2
Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
Hauzenberger, Niko
;
Huber, Florian
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 201-225
Persistent link: https://www.econbiz.de/10014631913
Saved in:
3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
Matrix autoregressive models : generalization and Bayesian estimation
Celani, Alessandro
;
Pagnottoni, Paolo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 227-248
Persistent link: https://www.econbiz.de/10014631918
Saved in:
5
Sequential Monte Carlo with model tempering
Mlikota, Marko
;
Schorfheide, Frank
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 249-269
Persistent link: https://www.econbiz.de/10014631921
Saved in:
6
Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.
;
Sun, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
Saved in:
7
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
8
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
9
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
10
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
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