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subject:"Volatility"
type_genre:"Article in journal"
~person:"Dufour, Jean-Marie"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Monte Carlo simulation"
~subject:"Theorie"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Monte Carlo simulation
Theorie
Estimation theory
37
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37
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12
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9
Statistical test
9
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Dufour, Jean-Marie
Koopman, Siem Jan
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
24
McAleer, Michael
23
Pesaran, M. Hashem
23
Ohtani, Kazuhiro
21
Horowitz, Joel
20
Giles, David E. A.
19
Krämer, Walter
19
Gouriéroux, Christian
18
King, Maxwell L.
18
Ullah, Aman
18
Lee, Lung-fei
17
Robinson, Peter M.
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Hahn, Jinyong
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Kumar, Dilip
16
Srivastava, Virendra K.
16
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16
Ghysels, Eric
15
Linton, Oliver
15
Schmidt, Peter
15
Bera, Anil K.
14
Kelejian, Harry H.
14
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Bai, Jushan
13
Godfrey, L. G.
13
Hill, Rufus Carter
13
Lechner, Michael
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Rilstone, Paul
13
Simar, Léopold
13
Smith, Richard J.
13
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Journal of econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Econometric reviews
3
International economic review
2
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2
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ECONIS (ZBW)
23
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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
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
3
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:
4
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory
Doko Tchatoka, Firmin
;
Dufour, Jean-Marie
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 390-418
Persistent link: https://www.econbiz.de/10012483007
Saved in:
5
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
Coudin, Elise
;
Dufour, Jean-Marie
- In:
Econometric reviews
39
(
2020
)
8
,
pp. 763-791
Persistent link: https://www.econbiz.de/10012295580
Saved in:
6
Identification-robust moment-based tests for Markov switching in autoregressive models
Dufour, Jean-Marie
;
Luger, Richard
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 713-727
Persistent link: https://www.econbiz.de/10011795382
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
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:
9
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
10
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
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