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subject:"Volatility"
type_genre:"Article in journal"
~person:"Gouriéroux, Christian"
~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
Theorie
Estimation theory
45
Schätztheorie
45
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20
Time series analysis
12
Zeitreihenanalyse
12
Estimation
7
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7
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Article in journal
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25
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8
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8
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18
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Gouriéroux, Christian
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
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
Franses, Philip Hans
12
Hendry, David F.
12
Hill, Rufus Carter
12
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Journal of econometrics
8
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5
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2
L' Actualité économique : revue trimest.
2
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1
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1
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ECONIS (ZBW)
25
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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
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:
3
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:
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
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
7
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
8
Truncated dynamics and estimation of diffusion equations
Darolles, Serge
;
Gouriéroux, Christian
- In:
Journal of econometrics
102
(
2001
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001575282
Saved in:
9
Sensitivity analysis of values at risk
Gouriéroux, Christian
;
Laurent, Jean-Paul
;
Scaillet, …
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
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
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