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~subject:"Markov chain"
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Markov chain
Theorie
58
Theory
58
Zeitreihenanalyse
49
Time series analysis
47
Estimation theory
45
Schätztheorie
45
Bayesian inference
39
Bayes-Statistik
38
Forecasting model
30
Prognoseverfahren
30
Volatility
26
Volatilität
26
Monte Carlo simulation
19
Monte-Carlo-Simulation
19
State space model
18
Stochastic process
18
Stochastischer Prozess
18
Zustandsraummodell
18
Option pricing theory
16
Optionspreistheorie
16
Estimation
15
Markov-Kette
15
Schätzung
15
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Cointegration
12
Kointegration
12
ARMA model
11
ARMA-Modell
11
Börsenkurs
10
Share price
10
Bootstrap approach
9
Bootstrap-Verfahren
9
Bayesian Markov chain Monte Carlo
8
Statistical test
8
Statistischer Test
8
Bias
7
Hawkes process
7
Induktive Statistik
7
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12
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English
14
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Martin, Gael M.
12
Forbes, Catherine Scipione
9
Maneesoonthorn, Worapree
6
Poskitt, Donald Stephen
2
Frazier, David T.
1
Hu, Shuowen
1
Leung, Patrick
1
McCabe, Brendan Peter Martin
1
Robert, Christian P.
1
Sanford, Andrew D.
1
Strickland, Chris
1
Strickland, Chris M.
1
Zhang, Jing
1
Zhang, Xibin
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Working paper / Department of Econometrics and Business Statistics, Monash University
12
Econometric reviews
1
Journal of applied econometrics
1
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ECONIS (ZBW)
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1
Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
-
2010
Persistent link: https://www.econbiz.de/10008759297
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2
Estimating components in finite mixtures and hidden Markov models
Poskitt, Donald Stephen
;
Zhang, Jing
-
2004
Persistent link: https://www.econbiz.de/10002121825
Saved in:
3
Bayesian analysis of a fractional cointegration model
Martin, Gael M.
- In:
Econometric reviews
20
(
2001
)
2
,
pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
Saved in:
4
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris
;
Martin, Gael M.
;
Forbes, Catherine …
-
2006
Persistent link: https://www.econbiz.de/10003433826
Saved in:
5
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:
6
Bayesian analysis of continuous time models of the Australian short rate
Sanford, Andrew D.
;
Martin, Gael M.
-
2004
Persistent link: https://www.econbiz.de/10002121846
Saved in:
7
Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.
;
Forbes, Catherine Scipione
; …
-
2003
Persistent link: https://www.econbiz.de/10001854434
Saved in:
8
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
9
Computing Bayes : Bayesian computation from 1763 to the 21st century
Martin, Gael M.
;
Frazier, David T.
;
Robert, Christian P.
-
2020
Persistent link: https://www.econbiz.de/10012607643
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
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