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subject:"Stochastic process"
subject:"Volatility"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Schätzung"
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Stochastic process
Volatility
Schätzung
Estimation theory
162
Schätztheorie
162
Time series analysis
62
Zeitreihenanalyse
62
Nichtparametrisches Verfahren
41
Nonparametric statistics
41
Estimation
37
Panel
24
Panel study
24
Regression analysis
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Bayes-Statistik
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Bayesian inference
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Statistical theory
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Australia
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Australien
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Börsenkurs
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Causality analysis
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Gao, Jiti
19
Gong, Xiaodong
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Linton, Oliver
4
Peng, Bin
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Feng, Guohua
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Martin, Gael M.
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Poskitt, Donald Stephen
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Yang, Yanrong
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Athanasopoulos, George
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Cai, Biqing
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Cheng, Tingting
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Hyndman, Rob J.
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Kapetanios, George
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King, Maxwell L.
2
Liang, Xuan
2
Maneesoonthorn, Worapree
2
Pan, Guangming
2
Sarafidis, Vasilis
2
Smith, Michael S.
2
Vahid, Farshid
2
Yan, Yayi
2
Zhang, Xiaohui
2
Zhang, Xibin
2
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1
Bailey, Natalia
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Chen, Xiangjin B.
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Forbes, Catherine Scipione
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Grose, Simone D.
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Harris, David
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Jiang, Bin
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Karavias, Yiannis
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Kew, Hsein
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1
Koo, Bonsoo
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Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
303
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
157
Economics letters
134
Econometric reviews
75
Discussion paper / Tinbergen Institute
63
Economic modelling
63
Applied economics letters
60
Discussion paper series / IZA
58
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
NBER Working Paper
54
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49
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48
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International journal of forecasting
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Journal of empirical finance
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IZA Discussion Paper
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CESifo working papers
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Econometrics : open access journal
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Journal of forecasting
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SFB 649 discussion paper
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26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Finance research letters
25
Discussion papers of interdisciplinary research project 373
24
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Mean group instrumental variable estimation of time-varying large heterogenous panels with endogenous regressors
Bai, Yu
;
Marcellino, Massimiliano
;
Kapetanios, George
-
2023
Persistent link: https://www.econbiz.de/10014452530
Saved in:
2
Conditional normalization in time series analysis
Gamakumara, Puwasala
;
Santos-Fernández, Edgar
; …
-
2023
Persistent link: https://www.econbiz.de/10014451325
Saved in:
3
Multi-level panel data models : estimation and empirical analysis
Feng, Guohua
;
Gao, Jiti
;
Peng, Bin
-
2022
Persistent link: https://www.econbiz.de/10013193952
Saved in:
4
Nonparametric estimation and testing for time-varying VAR models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
-
2022
Persistent link: https://www.econbiz.de/10013494327
Saved in:
5
On time-varying VAR models : estimation, testing and impulse response analysis
Yan, Yayi
;
Gao, Jiti
;
Peng, Bin
-
2021
Persistent link: https://www.econbiz.de/10012697193
Saved in:
6
Semiparametric spatial autoregressive panel data model with fixed effects and time-varying coefficients
Liang, Xuan
;
Gao, Jiti
;
Gong, Xiaodong
-
2021
Persistent link: https://www.econbiz.de/10012614543
Saved in:
7
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
8
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
-
2020
Persistent link: https://www.econbiz.de/10012606874
Saved in:
9
Celebrating 40 years of panel data analysis : past, present and future
Sarafidis, Vasilis
;
Wansbeek, Tom
-
2020
Persistent link: https://www.econbiz.de/10012606889
Saved in:
10
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
-
2020
Persistent link: https://www.econbiz.de/10012606901
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