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subject:"Volatility"
type_genre:"Article in journal"
~person:"Giles, David E. A."
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Invertibility"
~subject:"Theory"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Invertibility
Theory
Estimation theory
41
Schätztheorie
41
Theorie
21
Time series analysis
11
Zeitreihenanalyse
11
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Volatilität
5
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4
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28
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Giles, David E. A.
Koopman, Siem Jan
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
23
McAleer, Michael
23
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Krämer, Walter
19
Gouriéroux, Christian
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
Kelejian, Harry H.
14
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Bai, Jushan
13
Bera, Anil K.
13
Godfrey, L. G.
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Rilstone, Paul
13
Smith, Richard J.
13
Teräsvirta, Timo
13
Dufour, Jean-Marie
12
Franses, Philip Hans
12
Hendry, David F.
12
Hill, Rufus Carter
12
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Economics letters
8
Journal of quantitative economics : official journal of the Indian Econometric Society
6
Journal of econometrics
4
Econometric reviews
2
Oxford bulletin of economics and statistics
2
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1
International journal of forecasting
1
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ECONIS (ZBW)
28
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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
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:
5
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:
6
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:
7
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:
8
Calculating a standard error for the Gini coefficient : some further results
Giles, David E. A.
- In:
Oxford bulletin of economics and statistics
66
(
2004
)
3
,
pp. 425-433
Persistent link: https://www.econbiz.de/10002139187
Saved in:
9
Messy time series : a unified approach
Harvey, Andrew C.
;
Koopman, Siem Jan
;
Penzer, Jeremy
-
1998
Persistent link: https://www.econbiz.de/10001362820
Saved in:
10
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:
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