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~isPartOf:"International journal of forecasting"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Forecasting model"
~subject:"Stochastic volatility"
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Search: subject_exact:"Stochastischer Prozess"
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Forecasting model
Stochastic volatility
Stochastic process
66
Stochastischer Prozess
66
Theorie
39
Theory
39
Time series analysis
34
Zeitreihenanalyse
34
Volatility
30
Volatilität
30
Prognoseverfahren
28
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16
Bayesian inference
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State space model
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Zustandsraummodell
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Markov-Kette
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Börsenkurs
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6
Bayesian Markov chain Monte Carlo
5
Option pricing theory
5
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5
Hawkes process
4
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4
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4
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Martin, Gael M.
7
Forbes, Catherine Scipione
4
Maneesoonthorn, Worapree
4
Frazier, David T.
3
Chan, Joshua
2
Koo, Bonsoo
2
Loiza-Maya, Ruben
2
Ruiz, Esther
2
Seo, Myung Hwan
2
Athanasopoulos, George
1
Barajas-Solano, David A.
1
Beaumont, Adrian
1
Breitung, Jörg
1
Brüggemann, Ralf
1
Chiu, Ching Wai Jeremy
1
Collet, J.
1
Cross, Jamie
1
Dessertaine, A.
1
Dimitrakopoulos, Stefanos
1
Dordonnat, V.
1
Eraslan, Sercan
1
Erkkilä, Timo
1
Espasa Terrades, Antoni
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Hafner, Christian M.
1
Hasson, Hilaf
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Iversen, Emil B.
1
Januschowski, Tim
1
Kang, Kyu Ho
1
Kim, Dongwhan
1
Kohn, Robert
1
Koopman, Siem Jan
1
Kryshko, Maxym
1
Li, Gang
1
Lloyd, James Robert
1
Lucas, André
1
Lütkepohl, Helmut
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International journal of forecasting
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
41
Quantitative finance
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
27
Journal of economic dynamics & control
23
International journal of theoretical and applied finance
22
Discussion paper / Tinbergen Institute
18
Energy economics
18
Insurance / Mathematics & economics
18
European journal of operational research : EJOR
17
Journal of banking & finance
16
Journal of forecasting
16
Working paper
16
Economics letters
15
Finance research letters
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Risks : open access journal
14
CAMA working paper series
13
Computational economics
13
Economic modelling
12
The North American journal of economics and finance : a journal of financial economics studies
12
Annals of finance
10
Finance and stochastics
10
Journal of empirical finance
9
Econometric reviews
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
International review of economics & finance : IREF
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
7
Review of derivatives research
7
International review of financial analysis
6
Journal of financial economics
6
Journal of risk and financial management : JRFM
6
Applied mathematical finance
5
Asia-Pacific financial markets
5
CAMA Working Paper
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Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Financial innovation : FIN
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Tinbergen Institute Discussion Paper
5
Applied economics
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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
Physics-informed Gaussian process regression for states estimation and forecasting in power grids
Tartakovsky, Alexandre M.
;
Ma, Tong
;
Barajas-Solano, …
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 967-980
Persistent link: https://www.econbiz.de/10014465184
Saved in:
3
Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan
;
Schröder, Maximilian
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
Saved in:
4
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
5
Forecasting with trees
Januschowski, Tim
;
Wang, Yuyang
;
Torkkola, Kari
; …
- In:
International journal of forecasting
38
(
2022
)
4
,
pp. 1473-1481
Persistent link: https://www.econbiz.de/10014381127
Saved in:
6
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
7
Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1212-1226
Persistent link: https://www.econbiz.de/10012794844
Saved in:
8
Variational Bayes approximation of factor stochastic volatility models
Gunawan, David
;
Kohn, Robert
;
Nott, David
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1355-1375
Persistent link: https://www.econbiz.de/10013274279
Saved in:
9
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
Saved in:
10
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:
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