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~subject:"HJM models"
~subject:"exponential smoothing"
~subject:"Volatilität"
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Search: subject:"State space models"
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HJM models
exponential smoothing
Volatilität
Zustandsraummodell
141
State space model
130
state space models
121
Theorie
108
Zeitreihenanalyse
105
Time series analysis
104
Theory
97
State space models
89
Prognoseverfahren
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state-space models
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State Space Models
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forecasting
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stochastic volatility
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USA
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factor models
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Björk, Tomas
5
Hyndman, Rob J.
5
Cross, Jamie
4
Delle Monache, Davide
4
Landén, Camilla
4
Petrella, Ivan
4
Poon, Aubrey
4
Venditti, Fabrizio
4
Akram, Muhammad
3
Hou, Chenghan
3
Ord, J. Keith
3
Rodriguez, Gabriel
3
Abanto-Valle, Carlos A.
2
Athanasopoulos, George
2
Chan, Joshua
2
Creal, Drew
2
Cross, Jamie L.
2
De Silva, A
2
Garrafa-Aragón, Hernán B.
2
Gaspar, Raquel M.
2
Hyndman, R
2
Hyndman, R.J.
2
Koop, Gary
2
Koopman, Siem Jan
2
Pfarrhofer, Michael
2
Scharth, Marcel
2
Snyder, R
2
Snyder, Ralph D.
2
Svensson, Lars
2
Zhang, Bo
2
Agarwalla, Sobhesh Kumar
1
Ahmed, Roman A.
1
Alvaro, Dennis
1
Archibald, Blyth
1
Arjoon, Vaalmikki
1
BJÖRK, TOMAS
1
BLIX, MAGNUS
1
Beaumont, Adrian
1
Bhatnagar, Chandra Shekhar
1
Billah, B.
1
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Department of Econometrics and Business Statistics, Monash Business School
9
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
3
Department of Economics, George Washington University
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Monash Econometrics and Business Statistics Working Papers
9
SSE/EFI Working Paper Series in Economics and Finance
6
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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1
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1
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1
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1
Journal of economics & business
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
Macroeconomic dynamics
1
Research in international business and finance
1
Review of world economics
1
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1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics journal
1
The journal of energy markets
1
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1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Tinbergen Institute Discussion Paper
1
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1
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ECONIS (ZBW)
28
RePEc
17
EconStor
4
BASE
2
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1
Herding states and stock market returns
Costa, Filipe
;
Fortuna, Natércia
;
Lobão, Júlio
- In:
Research in international business and finance
68
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014451812
Saved in:
2
Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael
- In:
Macroeconomic dynamics
27
(
2023
)
3
,
pp. 770-793
Persistent link: https://www.econbiz.de/10014247550
Saved in:
3
Macroeconomic forecasting with large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
-
2021
Persistent link: https://www.econbiz.de/10012628432
Saved in:
4
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
5
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
6
Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
-
2020
In this paper we develop a general framework to analyze
state
space
models
with timevarying system matrices where time …
Persistent link: https://www.econbiz.de/10012156426
Saved in:
7
Stochastic volatility in mean : empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
-
2020
Persistent link: https://www.econbiz.de/10012435606
Saved in:
8
Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
-
2020
Persistent link: https://www.econbiz.de/10012299985
Saved in:
9
Modeling tail risks of inflation using unobserved component quantile regressions
Pfarrhofer, Michael
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013543015
Saved in:
10
International transmissions of aggregate macroeconomic uncertainty in small open economies : an empirical approach
Cross, Jamie L.
;
Hou, Chenghan
;
Poon, Aubrey
-
2018
Persistent link: https://www.econbiz.de/10012202181
Saved in:
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