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subject:"United States"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Monte-Carlo-Simulation"
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United States
Volatility
Monte-Carlo-Simulation
Estimation theory
108
Schätztheorie
108
Time series analysis
51
Zeitreihenanalyse
51
Estimation
33
Schätzung
33
ARCH model
17
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17
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17
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cointegration
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Enders, Walter
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
173
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
148
Economics letters
63
Working paper / National Bureau of Economic Research, Inc.
51
Discussion paper / Tinbergen Institute
46
The review of economics and statistics
46
Econometric reviews
45
Applied economics
30
Econometric theory
29
Economic modelling
28
International journal of forecasting
28
CREATES research paper
27
Journal of applied econometrics
27
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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
25
The econometrics journal
25
Journal of empirical finance
24
American journal of agricultural economics
22
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
NBER Working Paper
21
Applied economics letters
20
CEMMAP working papers / Centre for Microdata Methods and Practice
20
Journal of forecasting
20
Discussion paper series / IZA
19
Finance research letters
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Journal of banking & finance
18
Quantitative finance
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The journal of futures markets
18
Econometrics : open access journal
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International journal of theoretical and applied finance
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Working paper
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European journal of operational research : EJOR
16
Journal of financial and quantitative analysis : JFQA
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Technical working paper / National Bureau of Economic Research
16
The journal of finance : the journal of the American Finance Association
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The review of financial studies
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Journal of financial econometrics
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29
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1
Markov-switching models with unknown error distributions : identification and inference within the Bayesian framework
Hwu, Shih-Tang
;
Kim, Chang-jin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 177-199
Persistent link: https://www.econbiz.de/10014631899
Saved in:
2
Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
Hauzenberger, Niko
;
Huber, Florian
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 201-225
Persistent link: https://www.econbiz.de/10014631913
Saved in:
3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
Sequential Monte Carlo with model tempering
Mlikota, Marko
;
Schorfheide, Frank
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 249-269
Persistent link: https://www.econbiz.de/10014631921
Saved in:
5
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
8
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
9
Buffered vector error-correction models : an application to the U.S. Treasury bond rates
Lu, Renjie
;
Yu, Philip L. H.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 267-287
Persistent link: https://www.econbiz.de/10012806530
Saved in:
10
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
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