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subject:"Prognoseverfahren"
subject:"Share price"
~person:"Bauwens, Luc"
~person:"Todorov, Viktor"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
Share price
Estimation theory
62
Schätztheorie
62
Time series analysis
28
Zeitreihenanalyse
28
Volatility
24
Volatilität
24
Estimation
19
Schätzung
19
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15
Theorie
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Theory
15
Stochastic process
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Stochastischer Prozess
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Bayesian inference
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Capital income
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Kapitaleinkommen
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Analysis of variance
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High-frequency data
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Nichtparametrisches Verfahren
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Nonparametric statistics
6
Option pricing theory
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Optionspreistheorie
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Statistical theory
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Statistische Methodenlehre
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Varianzanalyse
6
Forecasting
5
Hadamard exponential matrix
5
Linear algebra
5
Lineare Algebra
5
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4
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English
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Bauwens, Luc
Todorov, Viktor
Swanson, Norman R.
32
Kapetanios, George
24
Pesaran, M. Hashem
22
Corradi, Valentina
18
Marcellino, Massimiliano
18
Koop, Gary
17
McCracken, Michael W.
16
Cai, Zongwu
15
Koopman, Siem Jan
15
Clark, Todd E.
14
Huber, Florian
14
Kumar, Dilip
14
Hyndman, Rob J.
13
Rossi, Barbara
13
Teräsvirta, Timo
13
Diebold, Francis X.
12
Gao, Jiti
12
Linton, Oliver
12
Chevillon, Guillaume
11
Hendry, David F.
11
Phillips, Peter C. B.
11
West, Kenneth D.
11
Athanasopoulos, George
10
Jordà, Òscar
10
Knüppel, Malte
10
Maheswaran, S.
10
Sekhposyan, Tatevik
10
Tauchen, George Eugene
10
Vahid, Farshid
10
Xu, Ke-Li
10
Audrino, Francesco
9
Baltagi, Badi H.
9
Lahiri, Kajal
9
Varneskov, Rasmus Tangsgaard
9
Zakoïan, Jean-Michel
9
Bailey, Natalia
8
Dijk, Dick van
8
Hautsch, Nikolaus
8
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Journal of econometrics
7
CORE discussion paper : DP
2
Annales d'économie et de statistique
1
ERID working paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
18
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1
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
-
2022
Persistent link: https://www.econbiz.de/10013179719
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
4
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
7
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
8
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
9
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
10
Volatility Activity : Specification and Estimation
Todorov, Viktor
-
2011
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods to...
Persistent link: https://www.econbiz.de/10013119659
Saved in:
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