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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Linton, Oliver"
~subject:"Börsenkurs"
~subject:"Stochastic process"
~type_genre:"Bibliografie enthalten"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Stochastic process
Estimation theory
77
Schätztheorie
77
Nichtparametrisches Verfahren
36
Nonparametric statistics
36
Time series analysis
24
Zeitreihenanalyse
24
Regression analysis
17
Regressionsanalyse
17
Theorie
14
Theory
14
Estimation
12
Schätzung
12
Volatilität
8
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6
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6
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6
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6
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6
Prognoseverfahren
6
Statistical distribution
6
Statistische Verteilung
6
Semiparametric estimation
5
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5
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5
Capital income
4
Kapitaleinkommen
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Stochastischer Prozess
4
Bayes-Statistik
3
Bayesian inference
3
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3
Factor analysis
3
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3
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3
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10
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11
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Koopman, Siem Jan
Linton, Oliver
Kumar, Dilip
16
Maheswaran, S.
15
Tauchen, George Eugene
12
Todorov, Viktor
12
Li, Jia
11
Francq, Christian
9
Zakoïan, Jean-Michel
9
Teräsvirta, Timo
8
Andersen, Torben
7
Ghysels, Eric
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Engle, Robert F.
6
Hafner, Christian M.
6
McAleer, Michael
6
Sentana, Enrique
6
Taylor, Stephen
6
Wang, Yazhen
6
Bauwens, Luc
5
Bollerslev, Tim
5
Faff, Robert W.
5
Fan, Jianqing
5
Fornari, Fabio
5
Hurn, Stan
5
Jing, Bingyi
5
Li, Dong
5
Li, Wai Keung
5
Nolte, Ingmar
5
Park, Joon Y.
5
Phillips, Peter C. B.
5
Shephard, Neil G.
5
Taylor, Robert
5
Tsionas, Efthymios G.
5
Zhang, Lan
5
Allen, David E.
4
Arnerić, Josip
4
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Journal of econometrics
4
Cambridge working papers in economics
1
Econometric reviews
1
Econometric theory
1
Economics letters
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
11
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1
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
2
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:
3
A score statistic for testing the presence of a stochastic trend in conditional variances
Hong, Yongmiao
;
Linton, Oliver
;
McCabe, Brendan Peter Martin
- In:
Economics letters
213
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013442141
Saved in:
4
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
5
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:
6
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:
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
Let's get lade : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo
;
Linton, Oliver
- In:
Econometric theory
31
(
2015
)
4
,
pp. 671-702
Persistent link: https://www.econbiz.de/10011341932
Saved in:
9
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:
10
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
Saved in:
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