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subject:"United States"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Nelson, Charles R."
~subject:"Correlation"
~subject:"Volatilität"
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United States
Correlation
Volatilität
Estimation
31
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17
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16
Time series analysis
15
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Koopman, Siem Jan
Nelson, Charles R.
Gupta, Rangan
91
Bahmani-Oskooee, Mohsen
52
Gil-Alaña, Luis A.
43
Wohar, Mark E.
38
Caporale, Guglielmo Maria
37
Bollerslev, Tim
28
Pierdzioch, Christian
27
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26
Ma, Feng
26
Bouri, Elie
25
McAleer, Michael
25
Todorov, Viktor
25
Xuan Vinh Vo
24
Apergēs, Nikolaos
23
Tiwari, Aviral Kumar
23
Kumar, Dilip
20
McMillan, David G.
20
Hsing, Yu
18
Brooks, Robert
17
Kang, Sang Hoon
17
Mensi, Walid
16
Serletis, Apostolos
16
Tauchen, George Eugene
16
Yoon, Seong-min
16
Asai, Manabu
15
Belke, Ansgar
15
Hammoudeh, Shawkat
15
Heckman, James J.
15
Hegerty, Scott W.
15
Jawadi, Fredj
15
Payne, James E.
15
Rashid, Abdul
15
Andersen, Torben
14
Chiang, Thomas C.
14
Lee, Chien-chiang
14
Li, Jia
14
Narayan, Paresh Kumar
14
Sarno, Lucio
14
Wang, Yudong
14
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14
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Journal of empirical finance
3
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of money, credit and banking : JMCB
2
Oxford bulletin of economics and statistics
2
The review of economics and statistics
2
Econometric reviews
1
Economics letters
1
Journal of financial econometrics
1
Journal of monetary economics
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
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ECONIS (ZBW)
22
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22
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1
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
Saved in:
2
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:
3
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:
4
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
5
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
6
Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi
;
Nelson, Charles R.
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
Saved in:
7
Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
Saved in:
8
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
9
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
10
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
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