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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Wang, Jying-Nan"
~person:"Zakoïan, Jean-Michel"
~subject:"Time series analysis"
~subject:"Zustandsraummodell"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Zustandsraummodell
Estimation theory
42
Schätztheorie
42
ARCH model
17
ARCH-Modell
17
Zeitreihenanalyse
16
Volatilität
14
Estimation
11
Schätzung
11
Theorie
11
Theory
11
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Börsenkurs
7
Forecasting model
7
Prognoseverfahren
7
Risikomaß
7
Risk measure
7
Share price
7
Stochastic process
6
Stochastischer Prozess
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Monte Carlo simulation
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Analysis of variance
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Autocorrelation
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Autokorrelation
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Capital income
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Consistency
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Kalman filter
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Kapitaleinkommen
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Simulation
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State space model
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Statistical test
3
Statistischer Test
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Value-at-Risk
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Varianzanalyse
3
Aktienindex
2
Asymptotic normality
2
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Article
25
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Article in journal
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38
Working Paper
38
Graue Literatur
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English
24
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Koopman, Siem Jan
Wang, Jying-Nan
Zakoïan, Jean-Michel
Phillips, Peter C. B.
29
Leybourne, Stephen James
18
Linton, Oliver
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Li, Jia
12
Todorov, Viktor
12
Xiao, Zhijie
12
Ghysels, Eric
11
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Kapetanios, George
10
Koop, Gary
10
Lucas, André
10
Robinson, Peter M.
10
Fan, Jianqing
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
Nelson, Daniel B.
9
Nielsen, Morten Ørregaard
9
Westerlund, Joakim
9
Andersen, Torben
8
Baltagi, Badi H.
8
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Journal of econometrics
10
Econometric reviews
3
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Advances in econometrics
1
International journal of economics and finance
1
International journal of economics and financial issues : IJEFI
1
International journal of forecasting
1
Journal de la Société de Statistique de Paris
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Review of quantitative finance and accounting
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ECONIS (ZBW)
25
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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
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
4
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
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
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
7
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
Saved in:
8
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
9
How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index
Wang, Jying-Nan
;
Hsu, Yuan-Teng
;
Liu, Hung-Chun
- In:
International journal of economics and financial issues …
4
(
2014
)
3
,
pp. 651-656
Persistent link: https://www.econbiz.de/10010526918
Saved in:
10
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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