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Jungbacker, Borus's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,657 |
Total
Citations
42 |
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1.
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Koopman, Siem Jan
VU University Amsterdam Jungbacker, Borus
VU University Amsterdam - Department of Economics Hol Uspensky, Eugenie
University of Birmingham - Department of Accounting and Finance
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825
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33
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Generalised autoregressive conditional heteroskedasticity model, Long memory model, Realised volatility, Stochastic volatility model, Superior predictive ability, Unobserved components
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2.
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Jungbacker, Borus
VU University Amsterdam - Department of Economics Koopman, Siem Jan
VU University Amsterdam van der Wel, Michel
Erasmus University Rotterdam
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12 May 09
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Last Revised:
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20 Nov 12
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286
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Fama-Bliss data set, Kalman filter, Maximum likelihood, Yield curve
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3.
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Jungbacker, Borus
VU University Amsterdam - Department of Economics Koopman, Siem Jan
VU University Amsterdam
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227
(65,584)
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4
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Importance sampling, Maximum likelihood estimation, Micro-structure noise, Realised variance, Stochastic volatility model
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4.
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Jungbacker, Borus
VU University Amsterdam - Department of Economics Koopman, Siem Jan
VU University Amsterdam van der Wel, Michel
Erasmus University Rotterdam
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12 Feb 09
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Last Revised:
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15 Aug 11
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174
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3
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High-dimensional vector series, Kalman filtering and smoothing, Unbalanced panels of time series
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5.
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Jungbacker, Borus
VU University Amsterdam - Department of Economics Koopman, Siem Jan
VU University Amsterdam
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145
(100,773)
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2
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Kalman filter, Likelihood function, Monte Carlo integration, Newton-Raphson, Posterior mode estimation, Simulation smoothing, Stochastic volatility model
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Records 1 -
5
of 5 matches
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1
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