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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Koopman, Siem Jan"
~person:"Li, Wai Keung"
~subject:"Bayesian inference"
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Volatility
Bayesian inference
Estimation theory
13
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5
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4
Prognoseverfahren
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Koopman, Siem Jan
Li, Wai Keung
Todorov, Viktor
10
Tsionas, Efthymios G.
10
Kumar, Dilip
9
Li, Jia
9
Tauchen, George Eugene
7
Kim, Donggyu
6
Li, Yingying
6
Mykland, Per A.
6
Zhang, Xinyu
6
Andersen, Torben
5
Francq, Christian
5
Han, Xiaoyi
5
Koop, Gary
5
Liu, Zhi
5
Maheswaran, S.
5
Zhang, Xibin
5
Allenby, Greg M.
4
Bauwens, Luc
4
Bollerslev, Tim
4
Chaturvedi, Anoop
4
Gallant, A. Ronald
4
Mancino, Maria Elvira
4
Poon, Aubrey
4
Sucarrat, Genaro
4
Wang, Yazhen
4
Wu, Xinyu
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Zhang, Lan
4
Ardia, David
3
Bollinger, Christopher R.
3
Buccheri, Giuseppe
3
Clements, Adam
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Fan, Jianqing
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Gao, Jiti
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Hasselt, Martijn van
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Jing, Bingyi
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Kayal, Parthajit
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Journal of econometrics
4
Econometric reviews
1
International journal of forecasting
1
The journal of risk model validation
1
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ECONIS (ZBW)
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1
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
2
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:
3
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
4
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
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:
7
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
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