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~subject:"State space model"
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State space model
Theorie
104
Theory
103
Estimation theory
82
Schätztheorie
82
Volatility
55
Zeitreihenanalyse
53
Time series analysis
52
Stochastic process
48
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48
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47
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46
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41
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37
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32
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32
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31
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28
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26
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26
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Realised variance
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Schätzung
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Estimation
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21
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Capital income
20
Kapitaleinkommen
20
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20
Multivariate analysis
20
Financial market
19
Finanzmarkt
19
Großbritannien
18
stochastic volatility
18
Realised volatility
17
Ökonometrie
17
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16
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15
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7
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10
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English
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Shephard, Neil G.
17
Chib, Siddhartha
8
Bos, Charles S.
5
Koopman, Siem Jan
3
Nakajima, Jouchi
3
Omori, Yasuhiro
3
Barndorff-Nielsen, Ole E.
2
Dueker, Michael
2
Shephard, Neil
2
Doornik, Jurgen A.
1
Flury, Thomas
1
Harvey, Andrew C.
1
Nardari, Federico
1
Ramamurthy, Srikanth
1
Xiu, Dacheng
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Nuffield College
2
Centre for Analytical Finance <Århus>
1
Conference State Space and Unobserved Component Models <2002, Amsterdam>
1
Department of Economics, Oxford University
1
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Economics discussion papers
3
Journal of econometrics
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Economics Series Working Papers / Department of Economics, Oxford University
1
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Suntory Toyota International Centre for Economics and Related Disciplines
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The econometrics journal
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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
Persistent link: https://www.econbiz.de/10002396452
Saved in:
2
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:
3
Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
Saved in:
4
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009747434
Saved in:
5
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009732804
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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:
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