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isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"Working paper"
~subject:"Bayes-Statistik"
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Volatility
Bayes-Statistik
Estimation theory
480
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98
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Working paper
Journal of econometrics
163
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
38
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25
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Journal of the American Statistical Association : JASA
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Finance research letters
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Journal of banking & finance
15
Journal of forecasting
15
European journal of operational research : EJOR
14
Journal of applied econometrics
14
Journal of financial econometrics
14
NBER Working Paper
14
Computational economics
13
International journal of theoretical and applied finance
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of economic dynamics & control
12
Journal of risk and financial management : JRFM
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Quantitative economics : QE ; journal of the Econometric Society
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of quantitative economics
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NBER working paper series
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ECONIS (ZBW)
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
Hypothesis testing via posterior-test-based Bayes factors
Li, Yong
;
Wang, Nianling
;
Yu, Jun
;
Zhang, Yonghui
-
2023
Persistent link: https://www.econbiz.de/10014320454
Saved in:
3
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
4
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
5
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
-
2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
6
Mortality forecasting using stacked regression ensembles
Kessy, Salvatory R.
;
Sherris, Michael
;
Villegas, Andrés M.
-
2021
Persistent link: https://www.econbiz.de/10012616204
Saved in:
7
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
8
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
9
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
10
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
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