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subject:"Volatility"
type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Bayesian inference"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Bayesian inference
Estimation theory
22
Schätztheorie
22
Time series analysis
13
Zeitreihenanalyse
13
Volatilität
12
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Andersen, Torben
Koopman, Siem Jan
Kumar, Dilip
16
Maheswaran, S.
14
Tsionas, Efthymios G.
13
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
11
Zhang, Xibin
9
Zhang, Xinyu
9
Koop, Gary
8
Liu, Zhi
8
Teräsvirta, Timo
8
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
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6
Fan, Jianqing
6
Gallant, A. Ronald
6
Han, Xiaoyi
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5
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5
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Lopes, Hedibert Freitas
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Simoni, Anna
5
Taylor, Stephen
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Zakoïan, Jean-Michel
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4
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Chaturvedi, Anoop
4
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4
Doppelhofer, Gernot
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Journal of econometrics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Special section on small-sample properties of generalized method of moments (GMM)
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ECONIS (ZBW)
14
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
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
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
6
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:
7
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
8
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:
9
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:
10
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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