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~person:"Christensen, Bent Jesper"
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"Measurement"
~subject:"Theorie"
~subject:"Zustandsraummodell"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Measurement
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Zustandsraummodell
Volatilität
65
Volatility
57
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24
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21
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20
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19
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16
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realized volatility
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volatility forecasting
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5
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30
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Christensen, Bent Jesper
Martin, Gael M.
Medeiros, Marcelo C.
Koopman, Siem Jan
37
Diebold, Francis X.
35
Bollerslev, Tim
30
Lux, Thomas
30
McAleer, Michael
28
Andersen, Torben
27
Härdle, Wolfgang
25
Bos, Charles S.
20
Merkl, Christian
20
Chiarella, Carl
18
Lucas, André
18
Fernández-Villaverde, Jesús
17
Hautsch, Nikolaus
17
Pierdzioch, Christian
15
Mittnik, Stefan
14
Agénor, Pierre-Richard
13
Aizenman, Joshua
13
Hafner, Christian M.
13
Mumtaz, Haroon
13
Carriero, Andrea
12
Clark, Todd E.
12
Clements, Adam
12
Herwartz, Helmut
12
Lütkepohl, Helmut
12
Marcellino, Massimiliano
12
Meddahi, Nour
12
Rubio-Ramírez, Juan Francisco
12
Asai, Manabu
11
Gonçalves, Sílvia
11
Guerrón-Quintana, Pablo A.
11
Rose, Andrew
11
Bertola, Giuseppe
10
Caballero, Ricardo J.
10
Christoffersen, Peter F.
10
Dijk, Dick van
10
Gupta, Rangan
10
Nielsen, Morten Ørregaard
10
Platen, Eckhard
10
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Centre for Analytical Finance <Århus>
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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Working paper / Department of Econometrics and Business Statistics, Monash University
12
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3
Queen's Economics Department Working Paper
3
Queen's Economics Department working paper
3
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
3
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3
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1
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ECONIS (ZBW)
27
EconStor
3
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
4
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:
5
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
6
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
7
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
Saved in:
8
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
9
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
10
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
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