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~subject:"State space model"
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State space model
Theorie
181
Theory
172
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122
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112
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86
Estimation theory
83
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81
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22
stochastic volatility
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Statistischer Test
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English
18
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Shephard, Neil G.
17
Bos, Charles S.
5
Chib, Siddhartha
5
Koopman, Siem Jan
3
Nakajima, Jouchi
3
Omori, Yasuhiro
3
Barndorff-Nielsen, Ole E.
2
Shephard, Neil
2
Doornik, Jurgen A.
1
Flury, Thomas
1
Harvey, Andrew C.
1
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1
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Nuffield College
2
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1
Conference State Space and Unobserved Component Models <2002, Amsterdam>
1
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ECONIS (ZBW)
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Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
2
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 217-252
Persistent link: https://www.econbiz.de/10003298574
Saved in:
3
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009747434
Saved in:
4
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009732804
Saved in:
5
Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan
;
Shephard, Neil G.
;
Doornik, Jurgen A.
- In:
The econometrics journal
2
(
1999
)
1
,
pp. 107-160
Persistent link: https://www.econbiz.de/10001449270
Saved in:
6
Exact score for time series models in state space form
Koopman, Siem Jan
;
Shephard, Neil G.
-
1992
Persistent link: https://www.econbiz.de/10000837992
Saved in:
7
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.
;
Shephard, Neil G.
-
2004
Persistent link: https://www.econbiz.de/10001906792
Saved in:
8
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.
(
contributor
);
Shephard, Neil G.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001923931
Saved in:
9
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
Persistent link: https://www.econbiz.de/10002396452
Saved in:
10
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002365024
Saved in:
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