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subject:"Schätzung"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~subject:"Multivariate Analyse"
~type_genre:"Amtsdruckschrift"
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Schätzung
Multivariate Analyse
Theorie
41
Theory
41
Time series analysis
24
Zeitreihenanalyse
24
State space model
14
Zustandsraummodell
14
Estimation
12
Forecasting model
12
Prognoseverfahren
12
Volatility
8
Volatilität
8
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Factor analysis
6
Faktorenanalyse
6
Stochastic process
6
Stochastischer Prozess
6
USA
6
United States
6
Bayes-Statistik
5
Bayesian inference
5
Correlation
5
Kalman filter
5
Korrelation
5
Multivariate analysis
5
ARCH model
4
ARCH-Modell
4
Credit risk
4
Kreditrisiko
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Business cycle
3
Börsenkurs
3
Capital income
3
EU countries
3
EU-Staaten
3
Economic forecast
3
Großbritannien
3
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Article
14
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Article in journal
Amtsdruckschrift
Arbeitspapier
25
Graue Literatur
25
Non-commercial literature
25
Working Paper
25
Aufsatz in Zeitschrift
14
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1
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1
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14
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Koopman, Siem Jan
Gil-Alaña, Luis A.
32
Caporale, Guglielmo Maria
28
Kumbhakar, Subal
25
Serletis, Apostolos
25
Gupta, Rangan
21
Bahmani-Oskooee, Mohsen
18
Moosa, Imad A.
15
Wohar, Mark E.
15
Chang, Tsangyao
14
Engsted, Tom
14
Peel, David
14
Fabozzi, Frank J.
13
Ghysels, Eric
13
McAleer, Michael
13
Phillips, Peter C. B.
13
Apergēs, Nikolaos
12
Asai, Manabu
12
Blundell, Richard W.
12
Bollerslev, Tim
12
Creedy, John
12
Koop, Gary
12
MacDonald, Ronald
12
Marcellino, Massimiliano
12
Tsionas, Efthymios G.
12
Berg, Gerard J. van den
11
Chan, Joshua
11
Engle, Robert F.
11
Franses, Philip Hans
11
Pesaran, M. Hashem
11
Taylor, Mark P.
11
Tzavalis, Elias
11
Belzil, Christian
10
Brooks, Robert
10
Chavas, Jean-Paul
10
Gouriéroux, Christian
10
Herwartz, Helmut
10
Hruschka, Harald
10
Härdle, Wolfgang
10
Jawadi, Fredj
10
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International journal of forecasting
3
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Economics letters
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
1
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ECONIS (ZBW)
14
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14
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1
Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
; …
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1426-1441
Persistent link: https://www.econbiz.de/10013274289
Saved in:
2
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
3
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
4
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
5
Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele
;
Hindrayanto, Irma
;
Koopman, Siem Jan
; …
- In:
Economics letters
145
(
2016
),
pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
Saved in:
6
Forecasting and nowcasting economic growth in the euro area using factor models
Hindrayanto, Irma
;
Koopman, Siem Jan
;
Winter, Jasper de
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1284-1305
Persistent link: https://www.econbiz.de/10011622152
Saved in:
7
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:
8
Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk
;
Koopman, Siem Jan
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
Saved in:
9
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
10
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
Saved in:
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