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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 of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Cavaliere, Giuseppe"
~subject:"Economics of insurance"
~subject:"Panel"
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Estimation theory
Economics of insurance
Panel
Heteroscedasticity
4
Heteroskedastizität
4
Schätztheorie
4
Time series analysis
4
Zeitreihenanalyse
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Estimation
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Schätzung
3
ARCH model
1
ARCH-Modell
1
ARMA model
1
ARMA-Modell
1
Adaptive estimation
1
Commodity derivative
1
Commodity price
1
Conditional sum-of-squares
1
Fractional integration
1
Quasi-maximum likelihood estimation
1
Rohstoffderivat
1
Rohstoffpreis
1
Volatility
1
Volatilität
1
Wild bootstrap
1
adaptive estimation
1
conditional sum-of-squares
1
fractional integration
1
heteroskedasticity
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quasi-maximum likelihood estimation
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wild bootstrap
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English
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Cavaliere, Giuseppe
Nielsen, Morten Ørregaard
18
Gouriéroux, Christian
14
Robert, Christian P.
12
Teräsvirta, Timo
12
Johansen, Søren
11
Kristensen, Dennis
9
Li, Qi
9
Guégan, Dominique
8
Podolskij, Mark
8
Gao, Jiti
7
Ghysels, Eric
7
Su, Liangjun
7
Zakoïan, Jean-Michel
7
Caner, Mehmet
6
Cattaneo, Matias D.
6
Francq, Christian
6
Hounyo, Ulrich
6
Jansson, Michael
6
Kruse, Robinson
6
Lan, Wei
6
MacKinnon, James G.
6
Monfort, Alain
6
Taylor, Robert
6
Varneskov, Rasmus Tangsgaard
6
Wang, Hansheng
6
Andersen, Torben
5
Christensen, Bent Jesper
5
Christensen, Kim
5
Guerre, Emmanuel
5
Hansen, Christian Bailey
5
Jasiak, Joann
5
Lechner, Michael
5
Philippe, Anne
5
Racine, Jeffrey
5
Rahbek, Anders
5
Scaillet, Olivier
5
Ahn, Hyungtaik
4
Berred, Alexandre M.
4
Comte, Fabienne
4
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
CREATES research paper
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Econometric theory
6
Discussion papers / Department of Economics, University of Copenhagen
4
CREATES Research Paper
2
Econometric reviews
2
Journal of econometrics
2
Queen's Economics Department working paper
2
Econometric Theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of empirical finance
1
Oxford bulletin of economics and statistics
1
Working paper series
1
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ECONIS (ZBW)
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1
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
2
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
3
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:
4
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
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