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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:"Teräsvirta, Timo"
~subject:"Economics of insurance"
~subject:"Panel"
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Estimation theory
Economics of insurance
Panel
Schätztheorie
12
Time series analysis
7
Zeitreihenanalyse
7
ARCH model
6
ARCH-Modell
6
Nichtlineare Regression
5
Nonlinear regression
5
Volatility
5
Volatilität
5
Multivariate Analyse
4
Multivariate analysis
4
Autocorrelation
3
Autokorrelation
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Estimation
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Schätzung
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Kointegration
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Multivariate GARCH model
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Teräsvirta, Timo
Nielsen, Morten Ørregaard
18
Gouriéroux, Christian
14
Robert, Christian P.
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
Cavaliere, Giuseppe
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
Working paper series in economics and finance
8
Econometric reviews
5
Discussion paper / Tinbergen Institute
4
Journal of econometrics
4
Arbeidsnotat / Norges Bank
3
Arbeidsnotat / Norges Bank / Norges Bank
3
International journal of forecasting
3
Discussion paper / Department of Economics, University of California San Diego
2
Econometrics : open access journal
2
Journal of applied econometrics
2
SSE EFI working paper series in economics and finance
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
CEA_372Cass working paper series
1
CORE discussion papers : DP
1
Discussion papers / Research Institute of the Finnish Economy / Elinkeinoelämän Tutkimuslaitos
1
Elinkeinoelämän Tutkimuslaitos, Keskusteluaiheita
1
Handbook of economic forecasting ; 1
1
Handbook of financial time series
1
Journal of empirical finance
1
Keskusteluaiheita / Elinkeinoelämän Tutkimuslaitos
1
NCER working paper series
1
Nonlinear dynamics and economics : proceedings of the Tenth Internat. Symposium in Economic Theory and Econometrics
1
Oxford bulletin of economics and statistics
1
The econometrics of economic policy
1
Umeå economic studies
1
VAR models in macroeconomics - new developments and applications : essays in honor of Christopher A. Sims
1
Working paper / Konjunkturinstitutet ; Ekonomiska Rådet
1
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ECONIS (ZBW)
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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:
2
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:
3
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
4
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
5
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
7
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
8
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010336592
Saved in:
9
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
Saved in:
10
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
Saved in:
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