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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Wang, Jying-Nan"
~subject:"Maximum likelihood estimation"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum likelihood estimation
Time series analysis
Estimation theory
17
Schätztheorie
17
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9
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9
Estimation
5
Forecasting model
5
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Koopman, Siem Jan
Wang, Jying-Nan
Phillips, Peter C. B.
31
Lee, Lung-fei
18
Leybourne, Stephen James
18
Linton, Oliver
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Taylor, Robert
16
Teräsvirta, Timo
16
Gao, Jiti
15
Francq, Christian
14
Johansen, Søren
14
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Chambers, Marcus J.
13
Hassler, Uwe
13
Perron, Pierre
13
Robinson, Peter M.
13
Tauchen, George Eugene
13
Li, Jia
12
McAleer, Michael
12
Todorov, Viktor
12
Xiao, Zhijie
12
Ghysels, Eric
11
Lucas, André
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Fan, Jianqing
10
Koop, Gary
10
Baltagi, Badi H.
9
Chan, Ngai Hang
9
Chen, Xiaohong
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
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9
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9
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Journal of econometrics
5
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3
Advances in econometrics
1
International journal of economics and finance
1
International journal of economics and financial issues : IJEFI
1
International journal of forecasting
1
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ECONIS (ZBW)
15
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
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:
3
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:
4
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
5
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:
6
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:
7
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:
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
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
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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