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isPartOf:"Journal of forecasting"
subject:"Estimation theory"
~isPartOf:"CREATES research paper"
~isPartOf:"Oxford Financial Research Centre economics series"
~language:"eng"
~person:"Lunde, Asger"
~person:"Sibbertsen, Philipp"
~subject:"Regressionsanalyse"
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Estimation theory
Regressionsanalyse
Schätztheorie
8
Stochastic process
2
Stochastischer Prozess
2
Core
1
Estimation
1
Forecasting model
1
Integer valued trawl process
1
Lévy basis
1
Market microstructure
1
Markov chain
1
Markov-Kette
1
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Maximum likelihood estimation
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Volatility
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composite likelihood
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forecasting
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model selection
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pairwise likelihood; estimation
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Lunde, Asger
Sibbertsen, Philipp
Nielsen, Morten Ørregaard
15
Teräsvirta, Timo
11
Johansen, Søren
10
Kristensen, Dennis
8
Podolskij, Mark
7
Cattaneo, Matias D.
6
Jansson, Michael
6
Kruse, Robinson
6
Christensen, Bent Jesper
5
Christensen, Kim
5
Hounyo, Ulrich
5
Varneskov, Rasmus Tangsgaard
5
Andersen, Torben
4
Barndorff-Nielsen, Ole E.
4
Hillebrand, Eric
4
MacKinnon, James G.
4
Rahbek, Anders
4
Santucci de Magistris, Paolo
4
Shephard, Neil G.
4
Silvennoinen, Annastiina
4
Taylor, Robert
4
Bennedsen, Mikkel
3
Cavaliere, Giuseppe
3
Crump, Richard K.
3
Kanaya, Shin
3
Kock, Anders Bredahl
3
Kouassi, Eugène
3
Medeiros, Marcelo C.
3
Nielsen, Bent
3
Parra-Alvarez, Juan Carlos
3
Posch, Olaf
3
Proietti, Tommaso
3
Ravishanker, Nalini
3
Rossi, Eduardo
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Yang, Yukai
3
Banerjee, Anurag Narayan
2
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Journal of forecasting
CREATES research paper
Oxford Financial Research Centre economics series
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
11
Journal of econometrics
3
Applied economics letters
1
CREATES Research Paper
1
Department of Economics discussion paper series / University of Oxford
1
Department of Economics discussion papers
1
Discussion paper / Department of Economics, University of California San Diego
1
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
Economics discussion papers
1
Economics letters
1
Empirical economic and financial research : theory, methods and practice ; [Festschrift in honour of Professor Siegfried Heiler]
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Global COE Hi-Stat discussion paper series
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
1
Working papers / Federal Reserve Bank of Atlanta
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ECONIS (ZBW)
8
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1
Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
-
2021
Persistent link: https://www.econbiz.de/10012621491
Saved in:
2
A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Floor Brix, Anne
;
Lunde, Asger
;
Wei, Wei
-
2015
Persistent link: https://www.econbiz.de/10011373234
Saved in:
3
Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2014
Persistent link: https://www.econbiz.de/10010388017
Saved in:
4
Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger
;
Floor Brix, Anne
-
2013
Persistent link: https://www.econbiz.de/10009763883
Saved in:
5
A unified framework for testing in the linear regression model under unknown order of fractional integration
Christensen, Bent Jesper
;
Kruse, Robinson
;
Sibbertsen, …
-
2013
Persistent link: https://www.econbiz.de/10010195657
Saved in:
6
On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik
;
Kruse, Robinson
;
Sibbertsen, Philipp
-
2012
Persistent link: https://www.econbiz.de/10009535121
Saved in:
7
Long memory and changing persistence
Kruse, Robinson
;
Sibbertsen, Philipp
-
2010
Persistent link: https://www.econbiz.de/10008651702
Saved in:
8
Regular and modified kernel-based estimator of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2004
Persistent link: https://www.econbiz.de/10002704173
Saved in:
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