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~isPartOf:"Energy economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Volatilität"
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Search: subject:"Markov-Chain Monte Carlo"
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Volatilität
Bayes-Statistik
223
Bayesian inference
223
Theorie
108
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108
Markov-Kette
54
Forecasting model
53
Markov chain
53
Prognoseverfahren
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ARCH model
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ARCH-Modell
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Markov chain Monte Carlo
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Martin, Gael M.
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Forbes, Catherine Scipione
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Maneesoonthorn, Worapree
7
Chan, Joshua
3
Frazier, David T.
3
Casarin, Roberto
2
Clark, Todd E.
2
Ignatieva, Ekaterina
2
Loiza-Maya, Ruben
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Mumtaz, Haroon
2
West, Mike
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Aastveit, Knut Are
1
Aguilar, Omar
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Ausín, M. Concepción
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Griffin, Jim
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Guidolin, Massimo
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Energy economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
24
CAMA working paper series
19
Working paper
15
Econometric reviews
13
International journal of forecasting
13
Discussion paper / Tinbergen Institute
12
Journal of applied econometrics
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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8
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Econometrics : open access journal
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Federal Reserve Bank of Cleveland working paper series
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Journal of economic dynamics & control
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Applied economics letters
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Finance research letters
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GRIPS discussion papers
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International journal of finance & economics : IJFE
5
Journal of banking & finance
5
Journal of empirical finance
5
Journal of risk and financial management : JRFM
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Macroeconomic dynamics
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Central European journal of economic modelling and econometrics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research in international business and finance
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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The econometrics journal
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The journal of futures markets
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ECONIS (ZBW)
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1
ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are
;
Cross, Jamie
;
Dijk, Herman K. van
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 523-537
Persistent link: https://www.econbiz.de/10014448307
Saved in:
3
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
4
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
5
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
6
A weekly structural VAR model of the US crude oil market
Valenti, Daniele
;
Bastianin, Andrea
;
Manera, Matteo
- In:
Energy economics
121
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014438651
Saved in:
7
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
8
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
9
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
10
Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
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