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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"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Bayesian inference
Prognoseverfahren
Estimation theory
31
Schätztheorie
31
Time series analysis
12
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12
Theorie
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9
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8
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Koopman, Siem Jan
Lesage, James P.
Kumar, Dilip
16
Tsionas, Efthymios G.
15
Maheswaran, S.
14
Teräsvirta, Timo
12
Todorov, Viktor
12
Zhang, Xinyu
12
Li, Jia
11
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11
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10
Andersen, Torben
8
Baltagi, Badi H.
8
Cai, Zongwu
8
Francq, Christian
8
Koop, Gary
8
Shang, Han Lin
8
Swanson, Norman R.
8
Demetrescu, Matei
7
Kim, Donggyu
7
Lahiri, Kajal
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Taylor, James W.
7
Taylor, Robert
7
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6
Fan, Jianqing
6
Gallant, A. Ronald
6
Gao, Jiti
6
Hafner, Christian M.
6
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6
Kapetanios, George
6
Linton, Oliver
6
Phillips, Peter C. B.
6
Tsay, Ruey S.
6
Ullah, Aman
6
Wang, Shouyang
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
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Journal of econometrics
4
International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
International regional science review
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of geographical systems : geographical information, analysis, theory, and decision
1
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ECONIS (ZBW)
14
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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
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:
3
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:
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
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
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:
8
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:
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
Saved in:
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