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~isPartOf:"CREATES research paper"
~isPartOf:"Econometric reviews"
~subject:"Prognoseverfahren"
~subject:"Volatility"
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Prognoseverfahren
Volatility
State space model
38
Zustandsraummodell
38
Theorie
24
Theory
24
Time series analysis
24
Zeitreihenanalyse
24
Estimation
13
Schätzung
13
Estimation theory
9
Schätztheorie
9
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8
Stochastic process
8
Stochastischer Prozess
8
Volatilität
8
Kalman filter
7
Yield curve
7
Zinsstruktur
7
Cointegration
6
Kointegration
6
Dynamic equilibrium
4
Dynamisches Gleichgewicht
4
Forecasting
4
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4
Nonlinear regression
4
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3
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3
Maximum likelihood estimation
3
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12
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Christensen, Bent Jesper
2
Jawadi, Fredj
2
Proietti, Tommaso
2
Audrino, Francesco
1
Bach, Christian
1
Bu, Ruijun
1
Chan, Joshua
1
Corsi, Fulvio
1
Filipova, Kameliya
1
Forbes, Catherine Scipione
1
Ftiti, Zied
1
Grassi, Stefano
1
Kjær, Mads Markvart
1
Koopman, Siem Jan
1
Li, Yuyi
1
Louhichi, Waël
1
Mahieu, Ronald J.
1
Marczak, Martyna
1
Martin, Gael M.
1
Mazzi, Gian Luigi
1
Mesters, G.
1
Nonejad, Nima
1
Ooms, Marius
1
Santucci de Magistris, Paolo
1
Tims, Ben
1
Veliyev, Bezirgen
1
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CREATES research paper
Econometric reviews
International journal of forecasting
52
Discussion paper / Tinbergen Institute
42
Journal of forecasting
34
Energy economics
26
Economic modelling
24
Working paper / Department of Econometrics and Business Statistics, Monash University
23
Journal of econometrics
17
The North American journal of economics and finance : a journal of financial economics studies
17
Finance research letters
14
Applied economics
13
CAMA working paper series
12
Computational economics
12
Economics letters
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
International review of financial analysis
10
Journal of empirical finance
10
Tinbergen Institute Discussion Paper
10
European journal of operational research : EJOR
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
CESifo working papers
6
Finmap working paper
6
International journal of finance & economics : IJFE
6
International review of economics & finance : IREF
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Quantitative finance
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
5
Econometrics : open access journal
5
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
International Journal of Energy Economics and Policy : IJEEP
5
Journal of applied econometrics
5
Journal of banking & finance
5
Journal of macroeconomics
5
Research paper series / Swiss Finance Institute
5
The econometrics journal
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ECONIS (ZBW)
12
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1
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12
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1
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
2
EuroMInd-D : a density estimate of monthly gross domestic product for the Euro Area
Proietti, Tommaso
;
Marczak, Martyna
;
Mazzi, Gian Luigi
-
2015
Persistent link: https://www.econbiz.de/10011516998
Saved in:
3
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
Saved in:
4
Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso
- In:
Econometric reviews
40
(
2021
)
5
,
pp. 433-454
Persistent link: https://www.econbiz.de/10012515613
Saved in:
5
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
6
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
7
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010339076
Saved in:
8
Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco
;
Corsi, Fulvio
;
Filipova, Kameliya
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
Saved in:
9
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:
10
Latent integrated stochastic volatility, realized volatility, and implied volatility : a
state
space
approach
Bach, Christian
;
Christensen, Bent Jesper
-
2010
Persistent link: https://www.econbiz.de/10008857837
Saved in:
1
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