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subject:"Volatility"
type_genre:"Article in journal"
~person:"Gallant, A. Ronald"
~person:"Koopman, Siem Jan"
~subject:"Bayesian inference"
~subject:"Kapitaleinkommen"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Kapitaleinkommen
Estimation theory
29
Schätztheorie
29
Time series analysis
10
Zeitreihenanalyse
10
Theorie
9
Theory
9
Volatilität
7
Bayes-Statistik
6
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Article in journal
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Gallant, A. Ronald
Koopman, Siem Jan
Kumar, Dilip
16
Maheswaran, S.
16
Tsionas, Efthymios G.
13
Tauchen, George Eugene
12
Todorov, Viktor
12
Li, Jia
11
Zhang, Xibin
9
Zhang, Xinyu
9
Andersen, Torben
8
Francq, Christian
8
Li, Yingying
8
Teräsvirta, Timo
8
Kim, Donggyu
7
Koop, Gary
7
Liu, Zhi
7
Mykland, Per A.
7
Allenby, Greg M.
6
Demetrescu, Matei
6
Fan, Jianqing
6
Ghysels, Eric
6
Han, Xiaoyi
6
Linton, Oliver
6
Taylor, Robert
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bauwens, Luc
5
Bollerslev, Tim
5
Elliott, Robert J.
5
Hafner, Christian M.
5
Jing, Bingyi
5
Lopes, Hedibert Freitas
5
Rodrigues, Paulo M. M.
5
Shephard, Neil G.
5
Simoni, Anna
5
Taylor, Stephen
5
Ardia, David
4
Arnerić, Josip
4
Aït-Sahalia, Yacine
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Journal of econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Computation and estimation in finance and economics
1
Econometric reviews
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
15
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Constrained estimation using penalization and MCMC
Gallant, A. Ronald
;
Hong, Han
;
Leung, Michael P.
;
Li, Jessie
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10013441728
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
A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
Gallant, A. Ronald
;
Hong, Han
;
Khwaja, Ahmed
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 19-32
Persistent link: https://www.econbiz.de/10011974601
Saved in:
6
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:
7
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:
8
Reflections on the probability space induced by moment conditions with implications for Bayesian inference
Gallant, A. Ronald
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 229-247
Persistent link: https://www.econbiz.de/10011588992
Saved in:
9
Reflections on the probability space induced by moment conditions with implications for Bayesian inference : author response to comments
Gallant, A. Ronald
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 284-294
Persistent link: https://www.econbiz.de/10011591037
Saved in:
10
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
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