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subject:"Zeitreihenanalyse"
subject:"Schätzung"
~accessRights:"restricted"
~person:"Lucas, André"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Schätzung
Estimation theory
6
Schätztheorie
6
Time series analysis
6
Stochastic process
3
Stochastischer Prozess
3
ARCH model
2
ARCH-Modell
2
Asymptotic normality
2
Estimation
2
Forecasting model
2
Prognoseverfahren
2
Volatility
2
Volatilität
2
Analysis of variance
1
Autocorrelation
1
Autokorrelation
1
Autoregressive conditional duration
1
Bayes-Statistik
1
Bayesian inference
1
Capital income
1
Consistency
1
Correlation
1
Delta-method
1
Dynamic higher-order moments
1
Dynamic volatilities
1
Exponentially Weighted Moving Average (EWMA)
1
Generalized autoregressive conditional heteroskedasticity
1
Integrated generalized autoregressive score models
1
Invertibility
1
Kapitaleinkommen
1
Korrelation
1
Macroeconomic time series
1
Markov processes
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Nichtlineare Regression
1
Nonlinear regression
1
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Lucas, André
Gao, Jiti
17
Linton, Oliver
13
Marcellino, Massimiliano
12
Phillips, Peter C. B.
12
Kapetanios, George
10
Li, Jia
10
Kumbhakar, Subal
9
Francq, Christian
8
Lütkepohl, Helmut
8
Teräsvirta, Timo
8
Todorov, Viktor
8
Westerlund, Joakim
8
Zhu, Ke
8
Baltagi, Badi H.
7
Cai, Zongwu
7
Koopman, Siem Jan
7
Kumar, Dilip
7
Li, Degui
7
Su, Liangjun
7
Tauchen, George Eugene
7
Taylor, Robert
7
Wang, Shouyang
7
Demetrescu, Matei
6
Kim, Donggyu
6
Lee, Lung-fei
6
Li, Qi
6
Li, Yingying
6
Nielsen, Morten Ørregaard
6
Omay, Tolga
6
Park, Joon Y.
6
Sentana, Enrique
6
Shang, Han Lin
6
Sun, Yiguo
6
Tsionas, Efthymios G.
6
Tu, Yundong
6
Zakoïan, Jean-Michel
6
Blasques, Francisco
5
Cavaliere, Giuseppe
5
Clark, Todd E.
5
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Econometric reviews
2
International journal of forecasting
2
Journal of econometrics
1
Journal of financial econometrics
1
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ECONIS (ZBW)
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1
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:
2
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:
3
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
4
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
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
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
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