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~isPartOf:"Adaptive information systems and modelling in economics and management science"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~person:"Al-Azzam, Moh’d"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Gallant, A. Ronald"
~person:"Todorov, Viktor"
~subject:"Dynamisches Gleichgewicht"
~subject:"Volatilität"
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Dynamisches Gleichgewicht
Volatilität
Theorie
18
Theory
18
Estimation
10
Schätzung
10
Bayes-Statistik
9
Bayesian inference
9
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Al-Azzam, Moh’d
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Todorov, Viktor
Aït-Sahalia, Yacine
6
Bollerslev, Tim
6
Pisani, Massimiliano
5
Renault, Eric
5
Tauchen, George Eugene
5
Andersen, Torben
4
Hallin, Marc
4
Kolasa, Marcin
4
McAleer, Michael
4
Schorfheide, Frank
4
Asai, Manabu
3
Barigozzi, Matteo
3
Cavaliere, Giuseppe
3
Jacquinot, Pascal
3
Mykland, Per A.
3
Nielsen, Morten Ørregaard
3
Patton, Andrew J.
3
Poon, Aubrey
3
Stähler, Nikolai
3
Yu, Jun
3
Badarau, Cristina
2
Banerjee, Anindya
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Boswijk, Herman Peter
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Chan, Joshua
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Chiarini, Bruno
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Chib, Siddhartha
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Adaptive information systems and modelling in economics and management science
Economic modelling
Journal of econometrics
CREATES research paper
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
ERID working paper
2
NBER Working Paper
2
NBER working paper series
2
Quantitative economics : QE ; journal of the Econometric Society
2
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
Economic Research Initiatives at Duke (ERID) Working Paper
1
FRB International Finance Discussion Paper
1
Global COE Hi-Stat discussion paper series
1
Insper working paper / Insper, Instituto de Ensino e Pesquisa
1
International finance discussion papers
1
Nonparametric dynamic modelling
1
Operations research proceedings 2002 : selected papers of the International Conference on Operations Research (SOR 2002) ; Klagenfurt, September 2 - 5, 2002 ; with 51 tables
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SFB 649 discussion paper
1
The review of economics and statistics
1
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ECONIS (ZBW)
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1
Variation and
efficiency
of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
2
Non-linear volatility modeling in classical and Bayesian frameworks with applications to risk management
Miazhynskaia, Tatiana
;
Dockner, Engelbert J.
; …
- In:
Adaptive information systems and modelling in economics …
,
(pp. 73-98)
.
2005
Persistent link: https://www.econbiz.de/10003319811
Saved in:
3
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
4
Econometric analysis of jump-driven stochastic volatility models
Todorov, Viktor
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 12-21
Persistent link: https://www.econbiz.de/10009242565
Saved in:
5
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
6
Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
Saved in:
7
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
8
Bayesian estimation of state space models using moment conditions
Gallant, A. Ronald
;
Giacomini, Raffaella
;
Ragusa, Giuseppe
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 198-211
Persistent link: https://www.econbiz.de/10011918691
Saved in:
9
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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