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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Koopman, Siem Jan"
~person:"Linton, Oliver"
~subject:"ARCH-Modell"
~subject:"Stochastic process"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Bootstrap approach
ARCH-Modell
Stochastic process
Volatility
Zeitreihenanalyse
Estimation theory
33
Schätztheorie
33
Nichtparametrisches Verfahren
16
Nonparametric statistics
16
Time series analysis
14
Estimation
8
Schätzung
8
Regression analysis
6
Regressionsanalyse
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Forecasting model
5
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Statistical distribution
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Volatilität
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Asymptotic normality
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Factor analysis
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Forecasting
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Importance sampling
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Invertibility
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Kalman filter
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Market microstructure
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Marktmikrostruktur
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Koopman, Siem Jan
Linton, Oliver
Francq, Christian
11
Phillips, Peter C. B.
11
Gao, Jiti
10
Li, Jia
10
Nielsen, Morten Ørregaard
10
Todorov, Viktor
10
Zhu, Ke
10
Kumar, Dilip
9
Taylor, Robert
9
Demetrescu, Matei
8
Kapetanios, George
8
Li, Dong
8
Ling, Shiqing
8
Lütkepohl, Helmut
8
Sentana, Enrique
8
Omay, Tolga
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Zakoïan, Jean-Michel
7
Andersen, Torben
6
Ardia, David
6
Cavaliere, Giuseppe
6
Hill, Jonathan B.
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Maheswaran, S.
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Peng, Liang
6
Poskitt, Donald Stephen
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Su, Liangjun
6
Tauchen, George Eugene
6
Tsionas, Efthymios G.
6
Bauwens, Luc
5
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Journal of econometrics
9
Econometric reviews
3
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
International journal of forecasting
1
Journal of empirical finance
1
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ECONIS (ZBW)
16
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
3
A ReMeDI for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
1
,
pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
Saved in:
4
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
5
A score statistic for testing the presence of a stochastic trend in conditional variances
Hong, Yongmiao
;
Linton, Oliver
;
McCabe, Brendan Peter Martin
- In:
Economics letters
213
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013442141
Saved in:
6
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 562-588
Persistent link: https://www.econbiz.de/10012618568
Saved in:
7
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
8
A weighted sieve estimator for nonparametric time series models with nonstationary variables
Dong, Chaohua
;
Linton, Oliver
;
Peng, Bin
- In:
Journal of econometrics
222
(
2021
)
2
,
pp. 909-932
Persistent link: https://www.econbiz.de/10012619807
Saved in:
9
Standard errors for nonparametric regression
Chu, Ba
;
Jacho-Chávez, David Tomás
;
Linton, Oliver
- In:
Econometric reviews
39
(
2020
)
7
,
pp. 674-690
Persistent link: https://www.econbiz.de/10012262514
Saved in:
10
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
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