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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Sucarrat, Genaro"
~person:"Wang, Jying-Nan"
~subject:"Maximum likelihood estimation"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum likelihood estimation
Estimation theory
23
Schätztheorie
23
Time series analysis
14
Zeitreihenanalyse
14
Volatilität
13
ARCH model
8
ARCH-Modell
8
Estimation
7
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7
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6
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6
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Koopman, Siem Jan
Sucarrat, Genaro
Wang, Jying-Nan
Lee, Lung-fei
18
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Francq, Christian
11
Tauchen, George Eugene
10
Zakoïan, Jean-Michel
9
Jin, Fei
8
Liu, Zhi
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Tsionas, Efthymios G.
7
Fan, Jianqing
6
Jing, Bingyi
6
Wang, Yazhen
6
Yu, Jihai
6
Aït-Sahalia, Yacine
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hurn, Stan
5
Li, Dong
5
Li, Kunpeng
5
Lucas, André
5
McAleer, Michael
5
Park, Joon Y.
5
Shin, Dong-wan
5
Taylor, Robert
5
Taylor, Stephen
5
Tran, Kien C.
5
Wu, Xinyu
5
Arnerić, Josip
4
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Journal of econometrics
4
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Energy economics
1
International journal of economics and finance
1
International journal of economics and financial issues : IJEFI
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International journal of forecasting
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ECONIS (ZBW)
16
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
2
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
3
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:
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
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
6
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
Saved in:
7
How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index
Wang, Jying-Nan
;
Hsu, Yuan-Teng
;
Liu, Hung-Chun
- In:
International journal of economics and financial issues …
4
(
2014
)
3
,
pp. 651-656
Persistent link: https://www.econbiz.de/10010526918
Saved in:
8
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
9
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
10
Analyzing the downside risk of exchange-traded funds : do the volatility estimators matter?
Wang, Jying-Nan
;
Chen, Lu-Jui
;
Liu, Hung-Chun
;
Hsu, …
- In:
International journal of economics and finance
8
(
2016
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10011422541
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