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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Shephard, Neil G."
~subject:"Bayesian inference"
~subject:"Kapitaleinkommen"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Kapitaleinkommen
Estimation theory
28
Schätztheorie
28
Time series analysis
12
Zeitreihenanalyse
12
Theorie
9
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5
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Koopman, Siem Jan
Shephard, Neil G.
Kumar, Dilip
16
Maheswaran, S.
16
Tsionas, Efthymios G.
13
Tauchen, George Eugene
12
Todorov, Viktor
12
Li, Jia
11
Zhang, Xibin
9
Zhang, Xinyu
9
Andersen, Torben
8
Francq, Christian
8
Li, Yingying
8
Teräsvirta, Timo
8
Gallant, A. Ronald
7
Kim, Donggyu
7
Koop, Gary
7
Liu, Zhi
7
Mykland, Per A.
7
Allenby, Greg M.
6
Demetrescu, Matei
6
Fan, Jianqing
6
Ghysels, Eric
6
Han, Xiaoyi
6
Linton, Oliver
6
Taylor, Robert
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bauwens, Luc
5
Bollerslev, Tim
5
Elliott, Robert J.
5
Hafner, Christian M.
5
Jing, Bingyi
5
Lopes, Hedibert Freitas
5
Rodrigues, Paulo M. M.
5
Simoni, Anna
5
Taylor, Stephen
5
Ardia, David
4
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4
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4
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Journal of econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometric reviews
1
Econometric theory
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
13
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
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:
3
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
4
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:
5
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
6
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:
7
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:
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
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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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