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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~person:"Diebold, Francis X."
~person:"Francq, Christian"
~person:"Lucas, André"
~person:"Nelson, Daniel B."
~person:"Taylor, Robert"
~subject:"Maximum likelihood estimation"
~type_genre:"Working Paper"
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Volatility
Maximum likelihood estimation
Estimation theory
4
Schätztheorie
4
Time series analysis
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Zeitreihenanalyse
4
Heteroscedasticity
3
Heteroskedastizität
3
Bootstrap approach
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Estimation
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Statistical test
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adaptive estimation
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conditional heteroskedasticity
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conditional sum-of-squares
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fractional integration
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heteroskedasticity
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level breaks
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local Whittle likelihood
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quasi-maximum likelihood estimation
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spurious long memory
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wild bootstrap
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Bollerslev, Tim
Diebold, Francis X.
Francq, Christian
Lucas, André
Nelson, Daniel B.
Taylor, Robert
Teräsvirta, Timo
5
Silvennoinen, Annastiina
4
Cavaliere, Giuseppe
3
Nielsen, Morten Ørregaard
3
Kristensen, Dennis
2
Rahbek, Anders
2
Amado, Cristina
1
Andersen, Torben
1
Barndorff-Nielsen, Ole E.
1
Bohn Nielsen, Heino
1
Casas, Isabel
1
Creel, Michael D.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gijbels, Irène
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hillebrand, Eric
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
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Kruse, Robinson
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Kurita, Takamitsu
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Lunde, Asger
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Mikkelsen, Jakob Guldbæk
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Parra-Alvarez, Juan Carlos
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Pedersen, Rasmus Søndergaard
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Posch, Olaf
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Rossi, Eduardo
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Santucci de Magistris, Paolo
1
Todorov, Viktor
1
Urga, Giovanni
1
Veliyev, Bezirgen
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Veraart, Almut E. D.
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CREATES research paper
Discussion paper / Tinbergen Institute
7
Série des documents de travail / Centre de Recherche en Économie et Statistique
4
Queen's Economics Department working paper
3
Technical working paper / National Bureau of Economic Research
2
Working papers / Rodney L. White Center for Financial Research
2
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International finance discussion papers
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Report / Erasmus Center for Financial Research, Erasmus University
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ECONIS (ZBW)
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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
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2020
Persistent link: https://www.econbiz.de/10012317803
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2
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:
3
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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