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~person:"Martin, Gael M."
~subject:"Prognoseverfahren"
~subject:"Stochastic process"
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Search: subject_exact:"Volatility"
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Prognoseverfahren
Stochastic process
Volatility
25
Volatilität
25
Stochastischer Prozess
17
Bayes-Statistik
13
Bayesian inference
13
State space model
12
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Nichtparametrisches Verfahren
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Dynamic price and volatility jumps
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Nonlinear state space model
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Martin, Gael M.
Gupta, Rangan
110
McAleer, Michael
104
Ma, Feng
77
Bollerslev, Tim
54
Asai, Manabu
49
Pierdzioch, Christian
44
Koopman, Siem Jan
41
Andersen, Torben
40
Todorov, Viktor
39
Zhang, Yaojie
37
Diebold, Francis X.
35
Christoffersen, Peter F.
34
Cui, Zhenyu
33
Lux, Thomas
32
Wang, Yudong
32
Chan, Joshua
31
Caporin, Massimiliano
30
Liang, Chao
30
Chiarella, Carl
29
Clark, Todd E.
29
Wei, Yu
29
Tauchen, George Eugene
27
Clements, Adam
26
Mumtaz, Haroon
26
Carriero, Andrea
25
Escobar, Marcos
24
McMillan, David G.
24
Salisu, Afees A.
24
Shephard, Neil G.
24
Barndorff-Nielsen, Ole E.
23
Bouri, Elie
23
Marcellino, Massimiliano
23
Medeiros, Marcelo C.
23
Degiannakis, Stavros
22
Ghysels, Eric
22
Engle, Robert F.
21
Fouque, Jean-Pierre
21
Gallo, Giampiero M.
21
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Working paper / Department of Econometrics and Business Statistics, Monash University
17
Journal of applied econometrics
2
Journal of econometrics
2
Econometric reviews
1
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ECONIS (ZBW)
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
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:
4
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:
5
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
6
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
7
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
8
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
9
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
10
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
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