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~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~person:"Al-Azzam, Moh’d"
~person:"Cavaliere, Giuseppe"
~person:"Chan, Joshua"
~person:"Fernandes, Marcelo"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Gallant, A. Ronald"
~person:"Jensen, Mark J."
~person:"McAleer, Michael"
~subject:"Bayes-Statistik"
~subject:"Börsenkurs"
~subject:"Dynamisches Gleichgewicht"
~subject:"Volatility"
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Bayes-Statistik
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Theory
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Al-Azzam, Moh’d
Cavaliere, Giuseppe
Chan, Joshua
Fernandes, Marcelo
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Jensen, Mark J.
McAleer, Michael
Aït-Sahalia, Yacine
6
Bollerslev, Tim
6
Koop, Gary
6
Schorfheide, Frank
6
Yu, Jun
6
Li, Yong
5
Pisani, Massimiliano
5
Renault, Eric
5
Tauchen, George Eugene
5
Todorov, Viktor
5
Andersen, Torben
4
Casarin, Roberto
4
Hallin, Marc
4
Kolasa, Marcin
4
Yang, Chunpeng
4
Asai, Manabu
3
Barigozzi, Matteo
3
Billio, Monica
3
Diebold, Francis X.
3
Grammig, Joachim
3
Griffin, Jim E.
3
Jacquinot, Pascal
3
Korobilis, Dimitris
3
Liao, Yuan
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Maheu, John M.
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Mykland, Per A.
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Nielsen, Morten Ørregaard
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Norets, Andriy
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Patton, Andrew J.
3
Pettenuzzo, Davide
3
Poon, Aubrey
3
Stähler, Nikolai
3
Swanson, Norman R.
3
Taylor, Robert
3
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Economic modelling
Journal of econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
CAMA working paper series
9
Discussion paper / Tinbergen Institute
9
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2
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ECONIS (ZBW)
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1
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
2
Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
Saved in:
3
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
Saved in:
4
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
Saved in:
5
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:
6
Bayesian exploratory factor analysis
Conti, Gabriella
;
Frühwirth-Schnatter, Sylvia
; …
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10010506092
Saved in:
7
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
8
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
9
A family of autoregressive conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
Saved in:
10
Nonparametric specification tests for conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
127
(
2005
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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