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~language:"eng"
~person:"Chiarella, Carl"
~person:"Gao, Jiti"
~person:"Koskela, Erkki"
~person:"Lux, Thomas"
~person:"Mumtaz, Haroon"
~person:"Phillips, Peter C. B."
~person:"Whang, Yoon-jae"
~subject:"Schätzung"
~subject:"Stochastic process"
~subject:"Suchtheorie"
~subject:"Theory"
~subject:"VAR-Modell"
~type_genre:"Arbeitspapier"
~type_genre:"Non-commercial literature"
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Search: subject:"Stochastisches Modell "
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Schätzung
Stochastic process
Suchtheorie
Theory
VAR-Modell
Stochastischer Prozess
124
Theorie
91
Time series analysis
34
Zeitreihenanalyse
34
Volatility
32
Volatilität
32
Nichtparametrisches Verfahren
17
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17
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15
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13
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11
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Schock
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English
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Chiarella, Carl
Gao, Jiti
Koskela, Erkki
Lux, Thomas
Mumtaz, Haroon
Phillips, Peter C. B.
Whang, Yoon-jae
McAleer, Michael
49
Koopman, Siem Jan
39
Ferrari, Giorgio
29
Platen, Eckhard
29
Shephard, Neil G.
24
Barndorff-Nielsen, Ole E.
22
Linton, Oliver
22
Küchler, Uwe
19
Gil-Alaña, Luis A.
18
Härdle, Wolfgang
18
Kohlmann, Michael
18
Bos, Charles S.
17
Chan, Joshua
17
Yu, Jun
17
Clark, Todd E.
15
Kleijnen, Jack P. C.
15
Lucas, André
15
Marcellino, Massimiliano
15
Martin, Gael M.
15
Hafner, Christian M.
14
Takahashi, Akihiko
14
Podolskij, Mark
13
Riedel, Frank
13
Scaillet, Olivier
13
Asai, Manabu
12
Carriero, Andrea
12
Föllmer, Hans
11
Reiß, Markus
11
Sornette, Didier
11
Alvarez, Luis H. R.
10
Alòs, Elisa
10
Evstigneev, Igor V.
10
Forbes, Catherine Scipione
10
Kilian, Lutz
10
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
Kansantaloustieteen Laitos <Helsinki>
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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Cowles Foundation discussion paper
22
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19
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15
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10
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5
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4
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4
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4
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3
Cambridge working papers in economics
3
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3
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2
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2
Neyar diyun / ham- Merkāz le-Fittûaḥ 'al Šēm P. Sapir
2
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2
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2
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2
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1
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1
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1
Discussion papers of interdisciplinary research project 373
1
ERIM report series research in management
1
Economics working paper series
1
Global COE Hi-Stat discussion paper series
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
Research paper / Quantitative Finance Research Group, University of Technology Sydney
1
SIER working paper series
1
Working paper / Department of Economics, Universidad Carlos III de Madrid
1
Working paper series / European Central Bank
1
Working paper series / Financial Econometrics Research Centre
1
Working papers / Department of Economics, Universidad Carlos III de Madrid
1
Working papers / Penn Institute for Economic Research
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ECONIS (ZBW)
124
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1
Eigen-analysis for high-dimensional time series clustering
Zhang, Bo
;
Gao, Jiti
;
Pan, Guangming
;
Yang, Yanrong
-
2023
Persistent link: https://www.econbiz.de/10014452611
Saved in:
2
Boosting the HP filter for trending time series with long range dependence
Biswas, Eva
;
Sabzikar, Farzad
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013464252
Saved in:
3
A general limit theory for nonlinear functionals of nonstationary time series
Wang, Qiying
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013326692
Saved in:
4
Consistent testing for an implication of supermodular dominance
Chung, Danbi
;
Linton, Oliver
;
Whang, Yoon-jae
-
2021
Persistent link: https://www.econbiz.de/10013257478
Saved in:
5
Discrete fourier transforms of fractional processes with econometric applications
Phillips, Peter C. B.
-
2021
Persistent link: https://www.econbiz.de/10012807741
Saved in:
6
Robust inference with stochastic local unit root regressors in predictive regressions
Liu, Yanbo
;
Phillips, Peter C. B.
-
2021
Persistent link: https://www.econbiz.de/10012807748
Saved in:
7
Testing for time stochastic dominance
Lee, Kyungho
;
Linton, Oliver
;
Whang, Yoon-jae
-
2020
Persistent link: https://www.econbiz.de/10013253442
Saved in:
8
Testing stochastic dominance with many conditioning variables
Linton, Oliver
;
Seo, Myung Hwan
;
Whang, Yoon-jae
-
2020
Persistent link: https://www.econbiz.de/10012793096
Saved in:
9
A generalised stochastic volatility in mean VAR : an updated algorithm
Mumtaz, Haroon
-
2020
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.
Persistent link: https://www.econbiz.de/10012243290
Saved in:
10
Testing stochastic dominance with many conditioning variables
Linton, Oliver
;
Seo, Myung Hwan
;
Whang, Yoon-jae
-
2020
Persistent link: https://www.econbiz.de/10014311275
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