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isPartOf:"Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques"
subject:"Estimation theory"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal de la Société de Statistique de Paris"
~person:"Bennedsen, Mikkel"
~person:"Robert, Christian P."
~person:"Taylor, Robert"
~subject:"United States"
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Estimation theory
United States
Schätztheorie
20
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13
Theory
13
Time series analysis
5
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5
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3
Heteroskedastizität
3
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Bennedsen, Mikkel
Robert, Christian P.
Taylor, Robert
Nielsen, Morten Ørregaard
15
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13
Teräsvirta, Timo
11
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10
Guégan, Dominique
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6
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Monfort, Alain
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5
Christensen, Kim
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Hounyo, Ulrich
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3
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3
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3
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3
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3
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
CREATES research paper
Journal de la Société de Statistique de Paris
Série des documents de travail / Centre de Recherche en Économie et Statistique
19
Journal of econometrics
13
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Annales d'économie et de statistique
4
Econometric theory
4
Queen's Economics Department working paper
4
Econometric reviews
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Oxford bulletin of economics and statistics
2
Série des documents de travail du CREST (Centre de Recherche en Economie et Statistique) / Institut National de la Statistique et des Etudes Economiques / Institut National de la Statistique et des Etudes Economiques
2
Financial Valuation and Risk Management, Forthcoming
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Theory and decision : an international journal for multidisciplinary advances in decision science
1
Working paper series
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ECONIS (ZBW)
20
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1
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
2
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:
3
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
4
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
-
2016
Persistent link: https://www.econbiz.de/10011524100
Saved in:
5
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
6
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
7
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:
8
MCMC control spreadsheets for exponentiel mixture estimation
Gruet, Marie-Anne
;
Philippe, Anne
;
Robert, Christian P.
-
1998
Persistent link: https://www.econbiz.de/10000984187
Saved in:
9
The simulated likelihood ratio (SLR) method
Billio, Monica
;
Monfort, Alain
;
Robert, Christian P.
-
1998
Persistent link: https://www.econbiz.de/10000986955
Saved in:
10
Riemann sums for MCMC estimation and convergence monitoring
Philippe, Anne
;
Robert, Christian P.
-
1998
Persistent link: https://www.econbiz.de/10000997342
Saved in:
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