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subject:"Schätzung"
subject:"Zeitreihenanalyse"
~person:"Koopman, Siem Jan"
~subject:"Kapitaleinkommen"
~type:"article"
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Schätzung
Zeitreihenanalyse
Kapitaleinkommen
Estimation theory
15
Schätztheorie
15
Time series analysis
9
Volatility
6
Volatilität
6
Forecasting model
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
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Koopman, Siem Jan
Phillips, Peter C. B.
34
Linton, Oliver
23
Gao, Jiti
22
Harvey, Andrew C.
18
Johansen, Søren
18
Leybourne, Stephen James
18
Taylor, Robert
18
Teräsvirta, Timo
18
Lütkepohl, Helmut
17
Su, Liangjun
17
Kumbhakar, Subal
16
Li, Qi
16
Baillie, Richard
15
Kapetanios, George
15
Tauchen, George Eugene
15
Chambers, Marcus J.
14
Kumar, Dilip
14
Westerlund, Joakim
14
Baltagi, Badi H.
13
Hassler, Uwe
13
Hsiao, Cheng
13
Koop, Gary
13
Perron, Pierre
13
Pesaran, M. Hashem
13
Zakoïan, Jean-Michel
13
Francq, Christian
12
Granger, C. W. J.
12
Hendry, David F.
12
Maheswaran, S.
12
Robinson, Peter M.
12
Ullah, Aman
12
Chen, Xiaohong
11
Ghysels, Eric
11
Lesage, James P.
11
Mills, Terence C.
11
White, Halbert
11
Xiao, Zhijie
11
Bauwens, Luc
10
Cai, Zongwu
10
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Journal of econometrics
4
Econometric reviews
2
A history of market performance : from ancient Babylonia to the modern world
1
Advances in econometrics
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
3
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
4
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
7
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
8
Analysis of historical time series with messy features : the case of commodity prices in Babylonia
Koopman, Siem Jan
;
Hoogerheide, Lennart
- In:
A history of market performance : from ancient …
,
(pp. 45-67)
.
2015
Persistent link: https://www.econbiz.de/10010406614
Saved in:
9
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
10
Parameter estimation and practical aspects of modeling stochastic volatility
Jungbacker, Borus
;
Koopman, Siem Jan
- In:
Handbook of financial time series
,
(pp. 313-344)
.
2009
Persistent link: https://www.econbiz.de/10003833957
Saved in:
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