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~person:"Shephard, Neil G."
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Search: subject:"state-space model"
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State space model
16
Zustandsraummodell
16
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11
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10
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10
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Shephard, Neil G.
Koopman, Siem Jan
147
Koop, Gary
54
Tiwari, Aviral Kumar
50
Chan, Joshua
32
Proietti, Tommaso
28
Kapetanios, George
26
Martin, Gael M.
24
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24
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22
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22
Gupta, Rangan
21
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20
Wel, Michel van der
20
Chan, Joshua C. C.
19
Lucas, André
19
Grassi, Stefano
18
Hyndman, Rob J.
18
Zadrozny, Peter A.
18
Nakajima, Jouchi
17
Bos, Charles S.
16
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16
Strachan, Rodney W.
16
Fernández-Villaverde, Jesús
15
Korobilis, Dimitris
15
Marczak, Martyna
15
Wohar, Mark E.
15
Aloui, Chaker
14
Dar, Arif Billah
14
Marcellino, Massimiliano
14
Ooms, Marius
14
Aguiar-Conraria, Luís
13
Dijk, Herman K. van
13
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13
Scharth, Marcel
13
Soares, Maria Joana
13
Bhanja, Niyati
12
Delle Monache, Davide
12
Fox, Jeremy T.
12
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12
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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)
16
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1
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009747434
Saved in:
2
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009732804
Saved in:
3
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
4
Learning and filtering via simulation : smoothly jittered particle filters
Flury, Thomas
;
Shephard, Neil G.
-
2009
Persistent link: https://www.econbiz.de/10003942746
Saved in:
5
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.
;
Shephard, Neil G.
-
2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear
state
space
model
with stochastic …
Persistent link: https://www.econbiz.de/10011334849
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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:
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