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~isPartOf:"China economic review : an international journal"
~isPartOf:"Journal of econometrics"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~person:"Koopman, Siem Jan"
~person:"McAleer, Michael"
~person:"Wang, Yazhen"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
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8
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Koopman, Siem Jan
McAleer, Michael
Wang, Yazhen
Todorov, Viktor
7
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5
Li, Jia
5
Tauchen, George Eugene
5
Bollerslev, Tim
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China economic review : an international journal
Journal of econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Discussion paper / Tinbergen Institute
36
Econometric Institute research papers
7
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Nonlinear time series analysis of business cycles
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Systemic risk tomography : signals, measurement and transmission channels
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The North American journal of economics and finance : a journal of financial economics studies
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Tinbergen Institute Discussion Paper 08-069/4
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Tinbergen Institute Discussion Paper 09-110/4
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Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
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ECONIS (ZBW)
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1
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
Saved in:
2
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
3
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
4
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
5
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
6
Adaptive thresholding for large volatility matrix
estimation
based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
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