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subject:"Volatility"
type_genre:"Article in journal"
~person:"Ghysels, Eric"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Theorie"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Theorie
Estimation theory
34
Schätztheorie
34
Time series analysis
16
Zeitreihenanalyse
16
Theory
14
Volatilität
10
Estimation
6
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Ghysels, Eric
Koopman, Siem Jan
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
23
McAleer, Michael
23
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Giles, David E. A.
19
Krämer, Walter
19
Gouriéroux, Christian
18
Horowitz, Joel
18
King, Maxwell L.
18
Ullah, Aman
18
Lee, Lung-fei
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Kumar, Dilip
16
Robinson, Peter M.
16
Srivastava, Virendra K.
16
Wooldridge, Jeffrey M.
16
Hahn, Jinyong
15
Linton, Oliver
15
Schmidt, Peter
15
Kelejian, Harry H.
14
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Bai, Jushan
13
Bera, Anil K.
13
Godfrey, L. G.
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Rilstone, Paul
13
Smith, Richard J.
13
Teräsvirta, Timo
13
Dufour, Jean-Marie
12
Franses, Philip Hans
12
Hendry, David F.
12
Hill, Rufus Carter
12
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Journal of econometrics
4
Econometric theory
3
International economic review
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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1
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1
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L' Actualité économique : revue trimest.
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ECONIS (ZBW)
22
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10
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22
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
6
Moment-implied densities : properties and applications
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
Saved in:
7
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:
8
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena
;
Ghysels, Eric
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
Saved in:
9
Testing for structural change in the presence auf auxiliary models
Ghysels, Eric
;
Guay, Alain
- In:
Econometric theory
20
(
2004
)
6
,
pp. 1168-1202
Persistent link: https://www.econbiz.de/10002424914
Saved in:
10
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
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