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isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
subject:"Regression analysis"
~isPartOf:"CREATES research paper"
~subject:"ARCH model"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Regression analysis
ARCH model
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Estimation theory
214
Schätztheorie
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Time series analysis
78
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78
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43
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43
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Teräsvirta, Timo
6
Engle, Robert F.
4
Nielsen, Morten Ørregaard
4
White, Halbert
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Sakata, Shinichi
3
Silvennoinen, Annastiina
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1
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1
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1
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1
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1
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1
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Discussion paper / Department of Economics, University of California San Diego
CREATES research paper
Journal of econometrics
361
Econometric theory
136
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
130
Economics letters
124
CEMMAP working papers / Centre for Microdata Methods and Practice
98
Journal of the American Statistical Association : JASA
95
Econometric reviews
93
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
78
The econometrics journal
72
Discussion paper / Tinbergen Institute
61
Discussion papers of interdisciplinary research project 373
53
Cowles Foundation discussion paper
51
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
45
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NBER Working Paper
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Econometrics : open access journal
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European journal of operational research : EJOR
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
37
International journal of forecasting
34
Computational economics
33
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
32
Journal of risk and financial management : JRFM
32
NBER working paper series
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SFB 649 discussion paper
31
Working paper / Department of Econometrics and Business Statistics, Monash University
31
Cowles Foundation Discussion Paper
29
Insurance / Mathematics & economics
29
Journal of forecasting
29
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
28
Quantitative economics : QE ; journal of the Econometric Society
28
Applied economics letters
27
Journal of empirical finance
27
Working paper
26
Working papers / TSE : WP
26
KBI
25
Discussion paper
24
Discussion paper / Center for Economic Research, Tilburg University
24
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1
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
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2
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
3
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
4
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
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5
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
6
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
9
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
10
Threshold regression with endogeneity for short panels
Gørgens, Tue
;
Würtz, Allan H.
-
2018
Persistent link: https://www.econbiz.de/10011946251
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