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subject:"Schätztheorie"
~person:"Koopman, Siem Jan"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~type:"article"
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Schätztheorie
Volatility
Zeitreihenanalyse
Theorie
43
Theory
43
Time series analysis
26
State space model
15
Zustandsraummodell
15
Forecasting model
14
Prognoseverfahren
14
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12
Schätzung
12
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8
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31
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Koopman, Siem Jan
Phillips, Peter C. B.
78
Franses, Philip Hans
64
McAleer, Michael
52
Gil-Alaña, Luis A.
44
Lütkepohl, Helmut
40
Perron, Pierre
39
Ghysels, Eric
38
Granger, C. W. J.
38
Gouriéroux, Christian
36
Pesaran, M. Hashem
35
Andrews, Donald W. K.
33
Taylor, Robert
32
Bollerslev, Tim
31
Gupta, Rangan
30
Koop, Gary
30
Leybourne, Stephen James
30
Caporale, Guglielmo Maria
29
Hendry, David F.
29
Newey, Whitney K.
29
Harvey, Andrew C.
28
Li, Qi
28
Robinson, Peter M.
28
Diebold, Francis X.
27
Baltagi, Badi H.
26
Teräsvirta, Timo
26
Engle, Robert F.
25
Hassler, Uwe
25
Herwartz, Helmut
25
Härdle, Wolfgang
25
Krämer, Walter
25
Swanson, Norman R.
25
Mills, Terence C.
24
Giles, David E. A.
23
Linton, Oliver
23
Renault, Eric
23
Saikkonen, Pentti
23
Stock, James H.
23
Hecq, Alain W. J.
22
Hong, Yongmiao
22
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International journal of forecasting
6
Journal of applied econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of econometrics
2
The econometrics journal
2
Advances in econometrics
1
Applied economics
1
Econometric reviews
1
Economics letters
1
Energy economics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of forecasting
1
State space and unobserved component models : theory and applications
1
The Oxford handbook of economic forecasting
1
The review of economics and statistics
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
1
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ECONIS (ZBW)
31
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1
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel
;
Hillebrand, Eric
;
Koopman, Siem Jan
- In:
Energy economics
96
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818590
Saved in:
2
Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
; …
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1426-1441
Persistent link: https://www.econbiz.de/10013274289
Saved in:
3
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
Gorgi, Paolo
;
Koopman, Siem Jan
;
Li, Mengheng
- In:
International journal of forecasting
35
(
2019
)
4
,
pp. 1735-1747
Persistent link: https://www.econbiz.de/10012305526
Saved in:
4
Forecasting football match results in national league competitions using score-driven time series models
Koopman, Siem Jan
;
Lit, Rutger
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 797-809
Persistent link: https://www.econbiz.de/10012300729
Saved in:
5
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
6
Bayesian dynamic modeling of high-frequency integer price changes
Barra, István
;
Borowska, Agnieszka
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
Saved in:
7
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
8
Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
The review of economics and statistics
98
(
2016
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011477094
Saved in:
9
Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele
;
Hindrayanto, Irma
;
Koopman, Siem Jan
; …
- In:
Economics letters
145
(
2016
),
pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
Saved in:
10
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
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