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~isPartOf:"Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics"
~isPartOf:"Econometric reviews"
~subject:"Prognoseverfahren"
~subject:"Volatility"
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Prognoseverfahren
Volatility
State space model
27
Zustandsraummodell
27
Theorie
21
Theory
21
Time series analysis
19
Zeitreihenanalyse
19
Estimation
12
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particle filter
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Trojan, Sebastian
3
Audrino, Francesco
2
Corsi, Fulvio
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Filipova, Kameliya
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Jawadi, Fredj
2
Bu, Ruijun
1
Buncic, Daniel
1
Chan, Joshua
1
Forbes, Catherine Scipione
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Ftiti, Zied
1
Koopman, Siem Jan
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Li, Yuyi
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Louhichi, Waël
1
Mahieu, Ronald J.
1
Martin, Gael M.
1
Mesters, G.
1
Moretto, Carlo
1
Ooms, Marius
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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
Applied economics
13
Finance research letters
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
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Econometrics : open access journal
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Emerging markets, finance and trade : EMFT
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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International Journal of Energy Economics and Policy : IJEEP
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Journal of applied econometrics
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Journal of banking & finance
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Research paper series / Swiss Finance Institute
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The econometrics journal
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
Forecasting copper prices with dynamic averaging and selection models
Buncic, Daniel
;
Moretto, Carlo
-
2014
Persistent link: https://www.econbiz.de/10010437480
Saved in:
6
Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437483
Saved in:
7
Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437486
Saved in:
8
Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian
-
2013
Persistent link: https://www.econbiz.de/10010243571
Saved in:
9
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:
10
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
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