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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"restricted"
~person:"Koopman, Siem Jan"
~person:"Sentana, Enrique"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Share price
Estimation theory
24
Schätztheorie
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Time series analysis
8
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8
Maximum likelihood estimation
7
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Koopman, Siem Jan
Sentana, Enrique
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Francq, Christian
7
Kim, Donggyu
6
Li, Yingying
6
Maheswaran, S.
6
Mykland, Per A.
6
Tauchen, George Eugene
6
Andersen, Torben
5
Li, Dong
5
Liu, Zhi
5
Zakoïan, Jean-Michel
5
Bollerslev, Tim
4
Cui, Zhenyu
4
Mancino, Maria Elvira
4
Park, Joon Y.
4
Songsak Sriboonchitta
4
Sucarrat, Genaro
4
Tsionas, Efthymios G.
4
Varneskov, Rasmus Tangsgaard
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Zhu, Ke
4
Amengual, Dante
3
Bauwens, Luc
3
Buccheri, Giuseppe
3
Clements, Adam
3
Demetrescu, Matei
3
Hurn, Stan
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
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Kristensen, Dennis
3
Kömm, Holger
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Lam, Henry
3
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Journal of econometrics
3
Discussion papers / CEPR
2
Discussion paper / Centre for Economic Policy Research
1
Econometric reviews
1
Essays in honor of M. Hashem Pesaran : panel modeling, micro applications, and econometric methodology
1
Journal of economic dynamics & control
1
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ECONIS (ZBW)
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1
Empirical evaluation of overspecified asset pricing models
Manresa, Elena
;
Peñaranda, Francisco
;
Sentana, Enrique
- In:
Journal of financial economics
147
(
2023
)
2
,
pp. 338-351
Persistent link: https://www.econbiz.de/10013546675
Saved in:
2
Gaussian rank correlation and regression
Amengual, Dante
;
Sentana, Enrique
;
Tian, Zhanyuan
- In:
Essays in honor of M. Hashem Pesaran : panel modeling, …
,
(pp. 269-306)
.
2022
Persistent link: https://www.econbiz.de/10013194599
Saved in:
3
A time-varying parameter model for local explosions
Blasques, Francisco
;
Koopman, Siem Jan
;
Nientker, Marc
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
Saved in:
4
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
5
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
6
The Jacobian of the exponential function
Magnus, Jan R.
;
Pijls, Henk G. J.
;
Sentana, Enrique
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012668907
Saved in:
7
Gaussian rank correlation and regression
Amengual, Dante
;
Sentana, Enrique
;
Tian, Zhanyuan
-
2020
Persistent link: https://www.econbiz.de/10012232995
Saved in:
8
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
-
2019
Persistent link: https://www.econbiz.de/10012025064
Saved in:
9
Empirical evaluation of overspecified asset pricing models
Manresa, Elena
;
Peñaranda, Francisco
;
Sentana, Enrique
-
2017
Persistent link: https://www.econbiz.de/10011708502
Saved in:
10
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
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