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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Economics letters"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Audrino, Francesco"
~person:"Grose, Simone D."
~person:"Moura, Guilherme Valle"
~person:"Tu, Yundong"
~subject:"ARMA model"
~subject:"Correlation"
~subject:"Forecasting model"
~subject:"Robustes Verfahren"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
ARMA model
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Robustes Verfahren
Zeitreihenanalyse
Estimation theory
17
Schätztheorie
17
Time series analysis
7
Estimation
6
Schätzung
6
Bias
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Prognoseverfahren
3
Regression analysis
3
Regressionsanalyse
3
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3
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Maximum-Likelihood-Schätzung
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Robust statistics
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Theorie
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Volatilität
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Audrino, Francesco
Grose, Simone D.
Moura, Guilherme Valle
Tu, Yundong
Gao, Jiti
31
Hyndman, Rob J.
15
Peng, Bin
14
Martin, Gael M.
10
Dong, Chaohua
8
Poskitt, Donald Stephen
7
Hassler, Uwe
6
Linton, Oliver
6
Li, Degui
5
Shin, Dong-wan
5
Vahid, Farshid
5
Wooldridge, Jeffrey M.
5
Yan, Yayi
5
Athanasopoulos, George
4
Gonzalo, Jesús
4
Koo, Bonsoo
4
Yang, Yanrong
4
Cai, Biqing
3
Forbes, Catherine Scipione
3
Francq, Christian
3
Frazier, David T.
3
Hwang, Eunju
3
Jiang, Bin
3
Leybourne, Stephen James
3
McCabe, Brendan Peter Martin
3
Nadarajah, K.
3
Pan, Guangming
3
Pesaran, M. Hashem
3
Phillips, Peter C. B.
3
Tjostheim, Dag
3
Abeysinghe, Tilak
2
Baltagi, Badi H.
2
Bergmeir, Christoph
2
Chen, Yi-ting
2
Cheng, Tingting
2
Corsi, Fulvio
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Economics letters
Working paper / Department of Econometrics and Business Statistics, Monash University
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
6
Journal of econometrics
4
Working papers on finance
4
Econometric reviews
1
Econometric theory
1
Essays in honor of Joon Y. Park : econometric theory
1
Journal of empirical finance
1
Quantitative finance and economics
1
University of St. Gallen Department of Economics Discussion Paper
1
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ECONIS (ZBW)
11
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1
Robust M-estimation for additive single-index cointegrating time series models
Donga, Chaohua
;
Gao, Jiti
;
Peng, Bin
;
Tu, Yundong
-
2023
Persistent link: https://www.econbiz.de/10014315933
Saved in:
2
Multiple-index nonstationary time series models : robust estimation theory and practice
Dong, Chaohua
;
Gao, Jiti
;
Peng, Bin
;
Tu, Yundong
-
2021
Persistent link: https://www.econbiz.de/10012697853
Saved in:
3
On transformed linear cointegration models
Lin, Yingqian
;
Tu, Yundong
- In:
Economics letters
198
(
2021
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012605792
Saved in:
4
Maximum likelihood estimation of a TVP-VAR
Moura, Guilherme Valle
;
Noriller, Mateus R.
- In:
Economics letters
174
(
2019
),
pp. 78-83
Persistent link: https://www.econbiz.de/10012121029
Saved in:
5
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
-
Revised 13, 29
Persistent link: https://www.econbiz.de/10011780804
Saved in:
6
Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap
Poskitt, Donald Stephen
;
Martin, Gael M.
;
Grose, Simone D.
-
2014
-
Rev. Ed.
Persistent link: https://www.econbiz.de/10010349989
Saved in:
7
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2013
Persistent link: https://www.econbiz.de/10010245441
Saved in:
8
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
9
Efficient estimation of conditionally linear and Gaussian state space models
Moura, Guilherme Valle
;
Turatti, Douglas Eduardo
- In:
Economics letters
124
(
2014
)
3
,
pp. 494-499
Persistent link: https://www.econbiz.de/10010495099
Saved in:
10
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
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