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~person:"Cross, Jamie"
~person:"Martin, Gael M."
~subject:"Stochastischer Prozess"
~subject:"USA"
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Search: subject_exact:"State space model"
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Stochastischer Prozess
USA
State space model
22
Zustandsraummodell
22
Theorie
18
Theory
18
Volatility
16
Volatilität
16
Bayes-Statistik
15
Bayesian inference
15
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14
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13
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13
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12
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9
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9
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6
Markov-Kette
6
Stochastic volatility
6
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5
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5
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4
Börsenkurs
4
Dynamic price and volatility jumps
4
Financial crisis
4
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4
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4
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4
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4
Nonlinear state space model
4
Share price
4
State space models
4
Hawkes process
3
Likelihood-free methods
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
State Space Models
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Cross, Jamie
Martin, Gael M.
Koopman, Siem Jan
53
Chan, Joshua
22
Crowley, Patrick M.
11
Lucas, André
11
Bos, Charles S.
10
Zadrozny, Peter A.
10
Chan, Joshua C. C.
8
Chen, Baoline
8
Shephard, Neil G.
8
Wel, Michel van der
8
Forbes, Catherine Scipione
7
Koop, Gary
7
Scharth, Marcel
7
Strachan, Rodney W.
7
Laubach, Thomas
6
Maneesoonthorn, Worapree
6
Nason, James Michael
6
Ooms, Marius
6
Poon, Aubrey
6
Williams, John C.
6
Gupta, Rangan
5
Liesenfeld, Roman
5
Pozzi, Lorenzo
5
Smith, Gregor W.
5
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4
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4
Chang, Yoosoon
4
Creal, Drew
4
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4
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4
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4
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4
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4
Grant, Angelia L.
4
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Working paper / Department of Econometrics and Business Statistics, Monash University
8
CAMP working paper series
1
Econometric reviews
1
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1
International journal of forecasting
1
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ECONIS (ZBW)
14
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1
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
Macroeconomic forecasting with large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
-
2021
Persistent link: https://www.econbiz.de/10012628432
Saved in:
3
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
4
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
Saved in:
5
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:
6
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:
7
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
8
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:
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
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
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