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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Wang, Jying-Nan"
~subject:"Maximum likelihood estimation"
~subject:"Risikomaß"
~subject:"Zustandsraummodell"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum likelihood estimation
Risikomaß
Zustandsraummodell
Estimation theory
17
Schätztheorie
17
Time series analysis
9
Volatilität
9
Zeitreihenanalyse
9
Estimation
5
Forecasting model
5
Monte Carlo simulation
5
Monte-Carlo-Simulation
5
Prognoseverfahren
5
Schätzung
5
Maximum-Likelihood-Schätzung
4
ARCH model
3
ARCH-Modell
3
Börsenkurs
3
Consistency
3
Kalman filter
3
Share price
3
State space model
3
Analysis of variance
2
Asymptotic normality
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2
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2
Capital income
2
Importance sampling
2
Invertibility
2
Kapitaleinkommen
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Market microstructure
2
Marktmikrostruktur
2
Noise Trading
2
Noise trading
2
Observation-driven models
2
Risk measure
2
Sampling
2
Stichprobenerhebung
2
Stochastic process
2
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Article
12
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Article in journal
Arbeitspapier
23
Graue Literatur
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23
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English
12
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Koopman, Siem Jan
Wang, Jying-Nan
Lee, Lung-fei
18
Kumar, Dilip
16
Maheswaran, S.
14
Francq, Christian
12
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Zakoïan, Jean-Michel
10
Teräsvirta, Timo
8
Andersen, Torben
7
Fan, Jianqing
7
Jin, Fei
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Tsionas, Efthymios G.
7
Jing, Bingyi
6
Lucas, André
6
Wang, Yazhen
6
Yu, Jihai
6
Aït-Sahalia, Yacine
5
Bollerslev, Tim
5
Boubaker, Heni
5
Cavaliere, Giuseppe
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hurn, Stan
5
Härdle, Wolfgang
5
Li, Dong
5
Li, Kunpeng
5
McAleer, Michael
5
Park, Joon Y.
5
Peng, Liang
5
Shin, Dong-wan
5
Sucarrat, Genaro
5
Taylor, James W.
5
Taylor, Robert
5
Taylor, Stephen
5
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Journal of econometrics
5
Econometric reviews
2
International journal of economics and finance
1
International journal of economics and financial issues : IJEFI
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Review of quantitative finance and accounting
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ECONIS (ZBW)
12
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1
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:
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
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
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:
5
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:
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
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:
8
Analyzing the downside risk of exchange-traded funds : do the volatility estimators matter?
Wang, Jying-Nan
;
Chen, Lu-Jui
;
Liu, Hung-Chun
;
Hsu, …
- In:
International journal of economics and finance
8
(
2016
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10011422541
Saved in:
9
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:
10
A noise-robust estimator of volatility based on interquantile ranges
Yeh, Jin-huei
;
Wang, Jying-Nan
;
Kuan, Chung-ming
- In:
Review of quantitative finance and accounting
43
(
2014
)
4
,
pp. 751-779
Persistent link: https://www.econbiz.de/10010490993
Saved in:
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