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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Schätzung"
~subject:"Theorie"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Schätzung
Theorie
Estimation theory
13
Schätztheorie
13
Time series analysis
8
Zeitreihenanalyse
8
Volatilität
5
Forecasting model
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
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4
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2
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Article in journal
Aufsatz in Zeitschrift
7
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English
7
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Koopman, Siem Jan
Phillips, Peter C. B.
38
Li, Qi
31
Andrews, Donald W. K.
30
Baltagi, Badi H.
30
Newey, Whitney K.
27
Lee, Lung-fei
24
Pesaran, M. Hashem
24
Gouriéroux, Christian
22
Linton, Oliver
22
McAleer, Michael
22
Ohtani, Kazuhiro
21
Ullah, Aman
21
Giles, David E. A.
20
Wooldridge, Jeffrey M.
20
Horowitz, Joel
19
Krämer, Walter
19
Kumbhakar, Subal
19
King, Maxwell L.
18
Schmidt, Peter
18
Tauchen, George Eugene
18
Ghysels, Eric
17
Hsiao, Cheng
17
Robinson, Peter M.
17
Granger, C. W. J.
16
Hahn, Jinyong
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Srivastava, Virendra K.
16
White, Halbert
16
Zakoïan, Jean-Michel
16
Koop, Gary
15
Maheswaran, S.
15
Bera, Anil K.
14
Kelejian, Harry H.
14
Lee, Myoung-jae
14
Perron, Pierre
14
Su, Liangjun
14
Bai, Jushan
13
Baillie, Richard
13
Dufour, Jean-Marie
13
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Journal of econometrics
2
Advances in econometrics
1
Econometric reviews
1
International journal of forecasting
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
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ECONIS (ZBW)
7
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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
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:
3
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:
4
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:
5
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:
6
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
7
Messy time series : a unified approach
Harvey, Andrew C.
;
Koopman, Siem Jan
;
Penzer, Jeremy
-
1998
Persistent link: https://www.econbiz.de/10001362820
Saved in:
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