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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"INFORMS journal on computing : JOC"
~isPartOf:"Journal of econometrics"
~person:"Davis, Richard A."
~subject:"Autocorrelation"
~subject:"Estimation theory"
~subject:"Instrumental variables"
~subject:"Regression analysis"
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Bootstrap approach
Autocorrelation
Estimation theory
Instrumental variables
Regression analysis
Schätztheorie
5
Time series analysis
5
Zeitreihenanalyse
5
Distance covariance
2
Heavy-tails
2
ARCH model
1
ARCH-Modell
1
Autokorrelation
1
Autoregressive process
1
Bootstrap-Verfahren
1
Börsenkurs
1
Capital income
1
Change-point
1
Estimated residuals
1
Estimation
1
Financial time series
1
Goodness-of-fit testing
1
Independent component analysis
1
Kapitaleinkommen
1
Minimum description length
1
Model selection
1
Multiplier block bootstrap
1
Non-Gaussian
1
Noncausal
1
Regular variation
1
Schock
1
Schätzung
1
Serial dependence
1
Share price
1
Shock
1
Shock persistence
1
Stationary time series
1
Statistical distribution
1
Statistical test
1
Statistische Verteilung
1
Statistischer Test
1
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Davis, Richard A.
Phillips, Peter C. B.
17
Linton, Oliver
12
Gao, Jiti
11
Su, Liangjun
11
Chen, Songnian
10
Lee, Lung-fei
10
Li, Degui
9
Robinson, Peter M.
9
Todorov, Viktor
8
Zhu, Ke
8
Francq, Christian
7
Li, Kunpeng
7
Li, Yingying
7
Peng, Bin
7
Taylor, Robert
7
Bai, Jushan
6
Cai, Zongwu
6
Fan, Jianqing
6
Fan, Yanqin
6
Koopman, Siem Jan
6
Li, Dong
6
Li, Jia
6
Ng, Serena
6
Park, Joon Y.
6
Sasaki, Yuya
6
Tu, Yundong
6
Andersen, Torben
5
Chen, Xiaohong
5
Hong, Han
5
Hsiao, Cheng
5
Kim, Donggyu
5
Lee, Ji Hyung
5
Liu, Ruixuan
5
Mykland, Per A.
5
Sun, Yiguo
5
Sun, Yixiao
5
Tauchen, George Eugene
5
Varneskov, Rasmus Tangsgaard
5
Wang, Hansheng
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INFORMS journal on computing : JOC
Journal of econometrics
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ECONIS (ZBW)
5
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Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.
;
Ng, Serena
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
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2
Goodness-of-fit testing for time series models via distance covariance
Wan, Phyllis
;
Davis, Richard A.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 4-24
Persistent link: https://www.econbiz.de/10013441619
Saved in:
3
Noncausal vector AR processes with application to economic time series
Davis, Richard A.
;
Li, Song
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 246-267
Persistent link: https://www.econbiz.de/10012439692
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4
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
5
On consistency of minimum description length model selection for piecewise autoregressions
Davis, Richard A.
;
Hancock, Stacey A.
;
Yao, Yi-Ching
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 360-368
Persistent link: https://www.econbiz.de/10011705206
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