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person:"Dufour, Jean-Marie"
subject:"Statistical theory"
~person:"Bauwens, Luc"
~subject:"Lag-Modell"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Statistical theory
Lag-Modell
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Estimation theory
106
Schätztheorie
106
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38
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38
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26
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26
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23
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Dufour, Jean-Marie
Bauwens, Luc
Koopman, Siem Jan
20
Todorov, Viktor
19
Diebold, Francis X.
18
Li, Jia
17
Teräsvirta, Timo
17
Kumar, Dilip
16
Li, Yingying
16
Ghysels, Eric
15
McAleer, Michael
15
Maheswaran, S.
14
Tauchen, George Eugene
14
Angrist, Joshua D.
13
Brandt, Michael W.
13
Bera, Anil K.
12
Gouriéroux, Christian
12
Hafner, Christian M.
12
Kim, Donggyu
12
Lucas, André
12
Phillips, Peter C. B.
12
Härdle, Wolfgang
11
Mancino, Maria Elvira
11
Andersen, Torben
10
Linton, Oliver
10
Robert, Christian P.
10
Rodriguez, Gabriel
10
Silvapulle, Paramsothy
10
Silvennoinen, Annastiina
10
Swanson, Norman R.
10
White, Halbert
10
Fan, Jianqing
9
Liu, Zhi
9
Mykland, Per A.
9
Spokojnyj, Vladimir G.
9
Zheng, Xinghua
9
Alizadeh, Sassan
8
Andrews, Donald W. K.
8
Bollerslev, Tim
8
Hurvich, Clifford M.
8
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CORE discussion paper : DP
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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3
CORE discussion papers : DP
2
Annales d'économie et de statistique
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
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ECONIS (ZBW)
27
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1
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
-
2022
Persistent link: https://www.econbiz.de/10013179719
Saved in:
2
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
Reverse regressions, symmetry and test distributions in linear models
Dufour, Jean-Marie
;
Kang, Byunguk
- In:
Journal of quantitative economics
20
(
2022
),
pp. 71-99
Persistent link: https://www.econbiz.de/10013441607
Saved in:
5
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
6
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
7
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
Kang, Byunguk
;
Dufour, Jean-Marie
- In:
Econometric reviews
40
(
2021
)
7
,
pp. 657-687
Persistent link: https://www.econbiz.de/10012624528
Saved in:
8
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
9
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
10
A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
Saved in:
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