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subject:"Volatility"
type_genre:"Article in journal"
~person:"Ardia, David"
~person:"Koopman, Siem Jan"
~subject:"Bayesian inference"
~subject:"Invertibility"
~subject:"Maximum-Likelihood-Schätzung"
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Volatility
Bayesian inference
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Maximum-Likelihood-Schätzung
Estimation theory
19
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19
Time series analysis
10
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10
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Ardia, David
Koopman, Siem Jan
Lee, Lung-fei
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Tsionas, Efthymios G.
20
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Francq, Christian
11
Li, Jia
11
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11
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9
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9
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9
Jin, Fei
8
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8
Andersen, Torben
7
Fan, Jianqing
7
Kim, Donggyu
7
Koop, Gary
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
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6
Gallant, A. Ronald
6
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5
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Gao, Jiti
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Journal of econometrics
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
14
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1
A time-varying parameter model for local explosions
Blasques, Francisco
;
Koopman, Siem Jan
;
Nientker, Marc
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
Saved in:
2
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
3
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:
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
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
6
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Ardia, David
;
Kolly, Jeremy
;
Trottier, Denis‐Alexandre
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 808-823
Persistent link: https://www.econbiz.de/10011860735
Saved in:
7
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:
8
Moments of standardized Fernandez-Steel skewed distributions : applications to the estimation of GARCH-type models
Trottier, Denis-Alexandre
;
Ardia, David
- In:
Finance research letters
18
(
2016
),
pp. 311-316
Persistent link: https://www.econbiz.de/10011657263
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:
10
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
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