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isPartOf:"Journal of econometrics"
~subject:"Estimation theory"
~subject:"Volatility"
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Search: subject_exact:"Markovscher Prozeß"
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Estimation theory
Volatility
Markov chain
116
Markov-Kette
116
Theorie
71
Theory
71
Monte Carlo simulation
44
Monte-Carlo-Simulation
44
Bayes-Statistik
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Calvet, Laurent E.
2
Chib, Siddhartha
2
Fisher, Adlai
2
Gouriéroux, Christian
2
Li, Yong
2
Yu, Jun
2
Ahsan, Nazmul
1
Aït-Sahalia, Yacine
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bognanni, Mark
1
Bonhomme, Stéphane
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Borowska, Agnieszka
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Caporin, Massimiliano
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Caraglio, Michele
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Carriero, Andrea
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Chen, Fei
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Choi, Yongok
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Clark, Todd E.
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Creal, Drew
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Dellaportas, Petros
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Diebold, Francis X.
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Dijk, Dick van
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Dijk, Herman K. van
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Dufour, Jean-Marie
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Fearnley, Marcus
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Fulop, Andras
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Gallant, A. Ronald
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Hong, Han
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Hoogerheide, Lennart
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Jacquier, Eric
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Jasiak, Joann
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Journal of econometrics
Energy economics
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Economic modelling
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Finance research letters
18
International journal of forecasting
17
Journal of empirical finance
17
Applied economics
15
Economics letters
15
The North American journal of economics and finance : a journal of financial economics studies
15
Journal of forecasting
14
Discussion paper / Tinbergen Institute
13
Computational economics
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Econometric reviews
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Quantitative finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
12
International review of financial analysis
11
Journal of economic dynamics & control
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Review of quantitative finance and accounting
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Applied economics letters
10
International review of economics & finance : IREF
10
Journal of mathematical finance
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European journal of operational research : EJOR
9
International journal of theoretical and applied finance
9
Journal of banking & finance
9
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
The European journal of finance
8
Econometrics : open access journal
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Economics working paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of finance & economics : IJFE
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Research in international business and finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Applied mathematical finance
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Insurance / Mathematics & economics
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Journal of risk and financial management : JRFM
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The journal of futures markets
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ECONIS (ZBW)
35
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1
Time varying Markov process with partially observed aggregate data : an application to coronavirus
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013472828
Saved in:
2
Improved marginal likelihood estimation via power posteriors and importance sampling
Li, Yong
;
Wang, Nianling
;
Yu, Jun
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 28-52
Persistent link: https://www.econbiz.de/10014364649
Saved in:
3
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
4
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
5
Constrained estimation using penalization and MCMC
Gallant, A. Ronald
;
Hong, Han
;
Leung, Michael P.
;
Li, Jessie
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10013441728
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6
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
7
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
8
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
9
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
10
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
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