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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Kumar, Dilip"
~subject:"Bayesian inference"
~subject:"Maximum likelihood estimation"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Maximum likelihood estimation
Estimation theory
30
Schätztheorie
30
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21
Forecasting model
14
Prognoseverfahren
14
ARCH model
13
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Koopman, Siem Jan
Kumar, Dilip
Lee, Lung-fei
21
Tsionas, Efthymios G.
20
Maheswaran, S.
14
Todorov, Viktor
12
Francq, Christian
11
Li, Jia
11
Tauchen, George Eugene
11
Zakoïan, Jean-Michel
9
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9
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9
Teräsvirta, Timo
8
Andersen, Torben
7
Fan, Jianqing
7
Jin, Fei
7
Kim, Donggyu
7
Koop, Gary
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Allenby, Greg M.
6
Gallant, A. Ronald
6
Han, Xiaoyi
6
Jing, Bingyi
6
Lucas, André
6
Tran, Kien C.
6
Wang, Yazhen
6
Yu, Jihai
6
Aït-Sahalia, Yacine
5
Bauwens, Luc
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Elliott, Robert J.
5
Gao, Jiti
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hurn, Stan
5
Li, Dong
5
Li, Kunpeng
5
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Journal of econometrics
5
Economic modelling
4
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
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1
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1
International journal of forecasting
1
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1
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ECONIS (ZBW)
25
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1
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
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
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:
4
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
5
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
6
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
7
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
8
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
9
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
10
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Kumar, Dilip
- In:
IIMB management review
29
(
2017
)
4
,
pp. 294-310
Persistent link: https://www.econbiz.de/10011879691
Saved in:
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