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subject:"Volatility"
type_genre:"Article in journal"
~person:"Dunson, David B."
~person:"Koop, Gary"
~person:"Todorov, Viktor"
~subject:"Bayesian inference"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Estimation theory
35
Schätztheorie
35
Estimation
17
Schätzung
17
Time series analysis
17
Zeitreihenanalyse
17
Volatilität
14
Bayes-Statistik
11
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9
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9
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Nichtparametrisches Verfahren
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Dunson, David B.
Koop, Gary
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
14
Tsionas, Efthymios G.
13
Li, Jia
11
Tauchen, George Eugene
11
Zhang, Xibin
9
Zhang, Xinyu
9
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Koopman, Siem Jan
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Allenby, Greg M.
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Ghysels, Eric
6
Han, Xiaoyi
6
Wang, Yazhen
6
Bauwens, Luc
5
Bollerslev, Tim
5
Elliott, Robert J.
5
Hafner, Christian M.
5
Jing, Bingyi
5
Lopes, Hedibert Freitas
5
Simoni, Anna
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Ardia, David
4
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Chaturvedi, Anoop
4
Clements, Adam
4
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4
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Journal of econometrics
11
Journal of the American Statistical Association : JASA
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
International journal of forecasting
1
National Institute economic review : journal of the National Institute of Economic and Social Research
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
23
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
3
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
6
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
7
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
Saved in:
8
Reconciled estimates and nowcasts of regional output in the UK
Koop, Gary
;
McIntyre, Stuart
;
Mitchell, James
;
Poon, Aubrey
- In:
National Institute economic review : journal of the …
253
(
2020
)
1
,
pp. R44-R59
Persistent link: https://www.econbiz.de/10012258699
Saved in:
9
Computationally efficient inference in large Bayesian mixed frequency VARs
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
Economics letters
191
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012508486
Saved in:
10
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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