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~language:"deu"
~language:"eng"
~person:"Chan, Joshua"
~subject:"Volatility"
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Search: subject:"Time series analysis"
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Volatility
Time series analysis
46
Zeitreihenanalyse
46
Bayes-Statistik
28
Bayesian inference
28
Theorie
28
Theory
28
VAR model
28
VAR-Modell
28
Stochastic process
22
Stochastischer Prozess
22
Estimation
20
Schätzung
20
Volatilität
19
Forecasting model
18
Prognoseverfahren
18
State space model
16
Zustandsraummodell
16
Estimation theory
12
Schätztheorie
12
Business cycle
10
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10
ARMA model
6
ARMA-Modell
6
Bayesian model comparison
6
Stochastic volatility
6
stochastic volatility
6
Markov chain
5
Markov-Kette
5
Correlation
4
Decomposition method
4
Dekompositionsverfahren
4
Korrelation
4
Modellierung
4
Monte Carlo simulation
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Chan, Joshua
McAleer, Michael
53
Caporale, Guglielmo Maria
44
Koopman, Siem Jan
39
Gil-Alaña, Luis A.
33
Lux, Thomas
32
Bollerslev, Tim
30
Gupta, Rangan
29
Härdle, Wolfgang
29
Andersen, Torben
24
Lucas, André
23
Tauchen, George Eugene
20
Todorov, Viktor
20
Dijk, Dick van
18
Sibbertsen, Philipp
18
Asai, Manabu
17
Chang, Chia-Lin
17
Hafner, Christian M.
17
Rodriguez, Gabriel
17
Hallin, Marc
16
Kim, Donggyu
16
Hansen, Peter Reinhard
15
Li, Jia
15
Taylor, Robert
15
Teräsvirta, Timo
15
Caporin, Massimiliano
14
Hautsch, Nikolaus
14
Hounyo, Ulrich
14
Bos, Charles S.
13
Cavaliere, Giuseppe
13
Sucarrat, Genaro
13
Baruník, Jozef
12
Cross, Jamie
12
Diebold, Francis X.
12
Gonçalves, Sílvia
12
Kumar, Dilip
12
Ma, Feng
12
Meddahi, Nour
12
Patton, Andrew J.
12
Allen, David E.
11
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CAMA working paper series
8
GRIPS discussion papers
2
International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
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1
Econometric reviews
1
Journal of economic dynamics & control
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ECONIS (ZBW)
19
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1
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
2
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
3
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:
4
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Yu, Xuewen
-
2020
Persistent link: https://www.econbiz.de/10012542396
Saved in:
5
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2020
-
This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
Saved in:
6
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Yu, Xuewen
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
Saved in:
7
Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua
-
2019
Persistent link: https://www.econbiz.de/10012224435
Saved in:
8
Large hybrid time-varying parameter VARs
Chan, Joshua
-
2019
Persistent link: https://www.econbiz.de/10012224555
Saved in:
9
Composite likelihood methods for large Bayesian VARs with stochastic volatility
Chan, Joshua
;
Eisenstat, Eric
;
Hou, Chenghan
;
Koop, Gary
-
2018
Persistent link: https://www.econbiz.de/10012202274
Saved in:
10
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie L.
-
2018
Persistent link: https://www.econbiz.de/10012202537
Saved in:
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