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person:"Stahlecker, Peter"
type_genre:"Working Paper"
~isPartOf:"Journal de la Société de Statistique de Paris"
~isPartOf:"Journal of econometrics"
~person:"Nielsen, Morten Ørregaard"
~person:"Zakoïan, Jean-Michel"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Estimation theory
15
Schätztheorie
15
ARCH model
7
ARCH-Modell
7
Bootstrap approach
5
Bootstrap-Verfahren
5
Time series analysis
5
Zeitreihenanalyse
5
Estimation
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4
Stochastic process
4
Stochastischer Prozess
4
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3
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Quasi-maximum likelihood
2
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14
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Stahlecker, Peter
Nielsen, Morten Ørregaard
Zakoïan, Jean-Michel
Phillips, Peter C. B.
32
Lee, Lung-fei
21
Linton, Oliver
21
Chen, Songnian
19
Su, Liangjun
18
Li, Qi
17
Robinson, Peter M.
17
Cai, Zongwu
13
Chen, Xiaohong
13
Gao, Jiti
13
Fan, Yanqin
12
Taylor, Robert
12
Andrews, Donald W. K.
11
Gouriéroux, Christian
11
Hsiao, Cheng
11
Park, Joon Y.
11
Sun, Yixiao
11
White, Halbert
11
Baltagi, Badi H.
10
Chib, Siddhartha
10
Florens, Jean-Pierre
10
Francq, Christian
10
Hong, Han
10
Newey, Whitney K.
10
Todorov, Viktor
10
Aït-Sahalia, Yacine
9
Horowitz, Joel
9
Kristensen, Dennis
9
Li, Degui
9
Pesaran, M. Hashem
9
Schmidt, Peter
9
Bai, Jushan
8
Lewbel, Arthur
8
Leybourne, Stephen James
8
Li, Dong
8
Ng, Serena
8
Simar, Léopold
8
Tauchen, George Eugene
8
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8
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Journal de la Société de Statistique de Paris
Journal of econometrics
Queen's Economics Department working paper
23
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
15
CREATES research paper
15
Econometric theory
8
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
7
Wirtschaftswissenschaftliche Diskussionsbeiträge / V
5
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
3
CORE discussion paper : DP
3
Journal of applied econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Economics letters
2
Journal of empirical finance
2
Journal of the American Statistical Association : JASA
2
The econometrics journal
2
Working paper series
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
CAE working paper
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion papers / Department of Economics, University of Copenhagen
1
Diskussionspapiere / Fachbereich Wirtschaftswissenschaften, Universität Hannover : Ser. B, Ökonometrie und Statistik
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of economic dynamics & control
1
Mathematical methods of operations research
1
Statistical papers
1
Série des documents de travail
1
The review of economics and statistics
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ECONIS (ZBW)
15
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1
Testing for the appropriate level of clustering in linear regression models
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2027-2056
Persistent link: https://www.econbiz.de/10014471443
Saved in:
2
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 272-299
Persistent link: https://www.econbiz.de/10014339912
Saved in:
3
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:
4
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:
5
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:
6
Asymptotic theory and wild bootstrap inference with clustered errors
Djogbenou, Antoine A.
;
MacKinnon, James G.
;
Nielsen, …
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 393-412
Persistent link: https://www.econbiz.de/10012304028
Saved in:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
8
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
9
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
10
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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