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Search: subject_exact:"Zustandsraummodell"
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State space model
17
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Journal of empirical finance
Discussion paper / Tinbergen Institute
95
Economic modelling
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Economics letters
55
Computational economics
54
International journal of forecasting
54
Journal of econometrics
53
Energy economics
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ECONIS (ZBW)
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1
International comovement of r* : a case study of the G7 countries
Goto, Eiji
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014477081
Saved in:
2
Forecasting realized volatility with wavelet decomposition
Souropanis, Ioannis
;
Vivian, Andrew
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014477112
Saved in:
3
Volatility cascades in cryptocurrency trading
Gradojevic, Nikola
;
Tsiakas, Ilias
- In:
Journal of empirical finance
62
(
2021
),
pp. 252-265
Persistent link: https://www.econbiz.de/10012693424
Saved in:
4
Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian
;
Hartkopf, Jan Patrick
;
Liesenfeld, Roman
- In:
Journal of empirical finance
55
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
Saved in:
5
Bond portfolio optimization using dynamic factor models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Journal of empirical finance
37
(
2016
),
pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
Saved in:
6
It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
30
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011489216
Saved in:
7
Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni
;
Mio, RongHui
;
Štěrba, Filip
; …
- In:
Journal of empirical finance
33
(
2015
),
pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
Saved in:
8
Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea
;
Lo Cascio, Iolanda
;
Muzzioli, Silvia
- In:
Journal of empirical finance
34
(
2015
),
pp. 34-44
Persistent link: https://www.econbiz.de/10011556988
Saved in:
9
Timescale-dependent stock market comovement : BRICs vs. developed markets
Lehkonen, Heikki
;
Heimonen, Kari
- In:
Journal of empirical finance
28
(
2014
),
pp. 90-103
Persistent link: https://www.econbiz.de/10011285085
Saved in:
10
Level shifts in stock returns driven by large shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of empirical finance
29
(
2014
),
pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
Saved in:
11
Bond vs stock market's Q : testing for stability across frequencies and over time
Gallegati, Marco
;
Ramsey, James B.
- In:
Journal of empirical finance
24
(
2013
),
pp. 138-150
Persistent link: https://www.econbiz.de/10010371984
Saved in:
12
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland
;
MacDonald, Iain L.
;
Zucchini, Walter
- In:
Journal of empirical finance
19
(
2012
)
1
,
pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
Saved in:
13
Modeling the dynamics of inflation compensation
Jochmann, Markus
;
Koop, Gary
;
Potter, Simon M.
- In:
Journal of empirical finance
17
(
2010
)
1
,
pp. 157-167
Persistent link: https://www.econbiz.de/10003943970
Saved in:
14
A Bayesian view of temporary components in asset prices
Eraker, Bjørn
- In:
Journal of empirical finance
15
(
2008
)
3
,
pp. 503-517
Persistent link: https://www.econbiz.de/10003759567
Saved in:
15
Non-syncronous trading and testing for market integration in Central European emerging markets
Schotman, Peter C.
;
Zalewska-Mitura, Anna
- In:
Journal of empirical finance
13
(
2006
)
4/5
,
pp. 462-494
Persistent link: https://www.econbiz.de/10003370858
Saved in:
16
The relationship between stock returns and inflation : new evidence from wavelet analysis
Kim, Sangbae
;
In, Francis Haeuck
- In:
Journal of empirical finance
12
(
2005
)
3
,
pp. 435-444
Persistent link: https://www.econbiz.de/10002900509
Saved in:
17
Kalman filtering of consistent forward rate curves : a tool to estimate and model dynamically the term structure
De Rossi, Giuliano
- In:
Journal of empirical finance
11
(
2004
)
2
,
pp. 277-308
Persistent link: https://www.econbiz.de/10001981343
Saved in:
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