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source:"econis"
subject:"Zeitreihenanalyse"
~person:"Harvey, Andrew C."
~person:"Martin, Gael M."
~subject:"ARCH model"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
ARCH model
Estimation theory
21
Schätztheorie
21
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Bayes-Statistik
9
Bayesian inference
9
Bayesian consistency
3
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Harvey, Andrew C.
Martin, Gael M.
Gao, Jiti
38
Koopman, Siem Jan
31
Phillips, Peter C. B.
26
Nielsen, Morten Ørregaard
25
Johansen, Søren
22
Lütkepohl, Helmut
22
Maravall Herrero, Agustín
22
Teräsvirta, Timo
21
Franses, Philip Hans
20
Sibbertsen, Philipp
19
Lucas, André
16
Peng, Bin
16
Kapetanios, George
15
Linton, Oliver
15
Gouriéroux, Christian
13
Hyndman, Rob J.
13
Härdle, Wolfgang
13
Pesaran, M. Hashem
13
Swanson, Norman R.
13
Zakoïan, Jean-Michel
12
Gómez, Víctor
11
Koop, Gary
11
Li, Degui
11
Ooms, Marius
11
Bauwens, Luc
10
Blasques, Francisco
10
Brännäs, Kurt
10
Fiorentini, Gabriele
10
Francq, Christian
10
Hafner, Christian M.
10
Nielsen, Bent
10
Sentana, Enrique
10
Beran, Jan
9
Dong, Chaohua
9
Feng, Yuanhua
9
Giraitis, Liudas
9
Miller, J. Isaac
9
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Working paper / Department of Econometrics and Business Statistics, Monash University
9
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1
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ECONIS (ZBW)
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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2
Optimal bias correction of the logperiodogram estimator of the fractional paramete : a Jackknife Approach
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2019
Persistent link: https://www.econbiz.de/10012592265
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3
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
-
2018
Persistent link: https://www.econbiz.de/10012583573
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4
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
5
Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
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2016
Persistent link: https://www.econbiz.de/10011781784
Saved in:
6
Issues in the estimation of mMis-specified models of fractionally integrated processes
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
Persistent link: https://www.econbiz.de/10011780803
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7
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
-
Revised 13, 29
Persistent link: https://www.econbiz.de/10011780804
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8
Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap
Poskitt, Donald Stephen
;
Martin, Gael M.
;
Grose, Simone D.
-
2014
-
Rev. Ed.
Persistent link: https://www.econbiz.de/10010349989
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9
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2013
Persistent link: https://www.econbiz.de/10010245441
Saved in:
10
Filtering with heavy tails
Harvey, Andrew C.
;
Luati, Alessandra
-
2012
Persistent link: https://www.econbiz.de/10009737948
Saved in:
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