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subject:"Volatility"
type_genre:"Article in journal"
~person:"Franses, Philip Hans"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Theorie"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
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16
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16
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14
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Aufsatz in Zeitschrift
19
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19
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Franses, Philip Hans
Koopman, Siem Jan
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
22
McAleer, Michael
22
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Giles, David E. A.
19
Krämer, Walter
19
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18
Horowitz, Joel
18
King, Maxwell L.
18
Ullah, Aman
18
Lee, Lung-fei
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Kumar, Dilip
16
Robinson, Peter M.
16
Srivastava, Virendra K.
16
Wooldridge, Jeffrey M.
16
Ghysels, Eric
15
Hahn, Jinyong
15
Linton, Oliver
15
Schmidt, Peter
15
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Bera, Anil K.
13
Godfrey, L. G.
13
Kelejian, Harry H.
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Rilstone, Paul
13
Smith, Richard J.
13
Teräsvirta, Timo
13
Bai, Jushan
12
Dufour, Jean-Marie
12
Hendry, David F.
12
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12
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Journal of econometrics
5
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4
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2
Oxford bulletin of economics and statistics
2
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1
Econometric theory
1
Economics letters
1
International journal of forecasting
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ECONIS (ZBW)
19
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1
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10
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19
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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
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:
3
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:
4
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:
5
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
Saved in:
6
Modelling and forecasting level shifts in absolute returns
Franses, Philip Hans
;
Leij, Marco van der
;
Paap, Richard
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 601-616
Persistent link: https://www.econbiz.de/10001709318
Saved in:
7
On Phillips-Perron-type tests for seasonal unit roots
Breitung, Jörg
- In:
Econometric theory
14
(
1998
)
2
,
pp. 200-221
Persistent link: https://www.econbiz.de/10001245309
Saved in:
8
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
9
Outlier detection in cointegration analysis
Franses, Philip Hans
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 459-468
Persistent link: https://www.econbiz.de/10001251800
Saved in:
10
Messy time series : a unified approach
Harvey, Andrew C.
;
Koopman, Siem Jan
;
Penzer, Jeremy
-
1998
Persistent link: https://www.econbiz.de/10001362820
Saved in:
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