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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Lesage, James P."
~subject:"Autoregressive conditional duration"
~subject:"Bayesian inference"
~subject:"Prognoseverfahren"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Bayesian inference
Prognoseverfahren
USA
Estimation theory
31
Schätztheorie
31
Time series analysis
12
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12
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Koopman, Siem Jan
Lesage, James P.
Kumar, Dilip
16
Tsionas, Efthymios G.
15
Maheswaran, S.
14
Tauchen, George Eugene
13
Li, Jia
12
Teräsvirta, Timo
12
Todorov, Viktor
12
Zhang, Xinyu
12
Koop, Gary
11
Baltagi, Badi H.
10
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10
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8
Cai, Zongwu
8
Francq, Christian
8
Gallant, A. Ronald
8
Lahiri, Kajal
8
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8
Shang, Han Lin
8
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8
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7
Demetrescu, Matei
7
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7
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7
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7
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7
Mykland, Per A.
7
Pesaran, M. Hashem
7
Phillips, Peter C. B.
7
Taylor, James W.
7
Taylor, Robert
7
Tsay, Ruey S.
7
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6
Bauwens, Luc
6
Diebold, Francis X.
6
Fan, Jianqing
6
Franses, Philip Hans
6
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6
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Journal of econometrics
4
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3
International journal of forecasting
2
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1
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1
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ECONIS (ZBW)
15
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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
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:
3
Cross-sectional dependence model specifications in a static trade panel data setting
Lesage, James P.
;
Fischer, Manfred M.
- In:
Journal of geographical systems : geographical …
22
(
2020
)
1
,
pp. 5-46
Persistent link: https://www.econbiz.de/10012237476
Saved in:
4
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:
5
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:
6
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
7
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:
8
Using Bayesian posterior model probabilities to identify omitted variables in spatial regression models
Lacombe, Donald J.
;
Lesage, James P.
- In:
Papers in regional science : the journal of the …
94
(
2015
)
2
,
pp. 365-383
Persistent link: https://www.econbiz.de/10011545150
Saved in:
9
Spatial dynamic panel data models with random effects
Parent, Olivier
;
Lesage, James P.
- In:
Regional science & urban economics
42
(
2012
)
4
,
pp. 727-738
Persistent link: https://www.econbiz.de/10009621527
Saved in:
10
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
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