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person:"Craig, Ben R."
subject:"Exchange rate"
~isPartOf:"Economic review"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Andersen, Torben"
~person:"Andrews, Donald W. K."
~person:"Imbens, Guido"
~person:"Li, Qi"
~person:"Park, Joon Y."
~person:"Westerlund, Joakim"
~person:"Zakoïan, Jean-Michel"
~subject:"Forecasting model"
~subject:"Maximum likelihood estimation"
~subject:"Momentenmethode"
~subject:"Monte Carlo simulation"
~subject:"Panel study"
~subject:"Schätzung"
~subject:"Statistical inference"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Exchange rate
Forecasting model
Maximum likelihood estimation
Momentenmethode
Monte Carlo simulation
Panel study
Schätzung
Statistical inference
Stochastischer Prozess
Volatilität
Estimation theory
67
Schätztheorie
67
Time series analysis
16
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16
Regression analysis
15
Regressionsanalyse
15
Theorie
15
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15
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14
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12
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Maximum-Likelihood-Schätzung
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Capital income
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Börsenkurs
4
Induktive Statistik
4
Method of moments
4
Risikomaß
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Risk measure
4
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4
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4
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36
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36
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Craig, Ben R.
Andersen, Torben
Andrews, Donald W. K.
Imbens, Guido
Li, Qi
Park, Joon Y.
Westerlund, Joakim
Zakoïan, Jean-Michel
Lee, Lung-fei
15
Su, Liangjun
13
Phillips, Peter C. B.
12
Francq, Christian
10
Todorov, Viktor
10
Baltagi, Badi H.
8
Gao, Jiti
8
Linton, Oliver
8
Tauchen, George Eugene
8
Bai, Jushan
7
Hsiao, Cheng
7
Li, Kunpeng
7
Li, Yingying
7
Robinson, Peter M.
7
Sun, Yiguo
7
Taylor, Robert
7
Koopman, Siem Jan
6
Lee, Ji Hyung
6
Li, Jia
6
Pesaran, M. Hashem
6
Cai, Zongwu
5
Chen, Xiaohong
5
Fan, Yanqin
5
Gouriéroux, Christian
5
Hansen, Christian Bailey
5
Hong, Han
5
Kim, Donggyu
5
Lu, Xun
5
Mykland, Per A.
5
Peng, Bin
5
White, Halbert
5
Antoine, Bertille
4
Cheng, Xu
4
Corradi, Valentina
4
Gallant, A. Ronald
4
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Economic review
Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometric theory
7
Economics letters
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
The econometrics journal
3
Econometric reviews
2
Journal of international financial markets, institutions & money
2
Oxford bulletin of economics and statistics
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Econometrics : open access journal
1
Energy economics
1
Journal of applied econometrics
1
Journal of financial econometrics
1
Journal of risk and financial management : JRFM
1
Journal of the American Statistical Association : JASA
1
Quantitative economics : QE ; journal of the Econometric Society
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Special section on small-sample properties of generalized method of moments (GMM)
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The review of economic studies : RES
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ECONIS (ZBW)
36
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
4
Design-based analysis in Difference-In-Differences settings with staggered adoption
Athey, Susan
;
Imbens, Guido
- In:
Journal of econometrics
226
(
2022
)
1
,
pp. 62-79
Persistent link: https://www.econbiz.de/10013440512
Saved in:
5
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
6
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
7
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
10
Estimation of longrun variance of continuous time stochastic process using discrete sample
Lu, Ye
;
Park, Joon Y.
- In:
Journal of econometrics
210
(
2019
)
2
,
pp. 236-267
Persistent link: https://www.econbiz.de/10012303516
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