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subject:"Kanada"
subject:"Schätzung"
~person:"Rahbek, Anders"
~subject:"ARCH model"
~type:"article"
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Kanada
Schätzung
ARCH model
Estimation theory
15
Schätztheorie
15
ARCH-Modell
8
Cointegration
4
Kointegration
4
Theorie
4
Theory
4
Asymptotic theory
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Estimation
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Nichtlineare Regression
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1963-1989
1
ARCH models
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BEKK
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Co-integration
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Corporate defaults
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Rahbek, Anders
Francq, Christian
19
Kumbhakar, Subal
16
Su, Liangjun
15
Zakoïan, Jean-Michel
15
Tauchen, George Eugene
14
Kumar, Dilip
13
Linton, Oliver
13
Gao, Jiti
10
Hsiao, Cheng
10
Teräsvirta, Timo
10
Todorov, Viktor
10
Hafner, Christian M.
9
Li, Jia
9
Tsionas, Efthymios G.
9
Baltagi, Badi H.
8
Hsu, Yu-Chin
8
Kapetanios, George
8
Li, Qi
8
Lütkepohl, Helmut
8
Maheswaran, S.
8
Phillips, Peter C. B.
8
Ramírez, Miguel D.
8
Sun, Yiguo
8
Bauwens, Luc
7
Kim, Donggyu
7
Lee, Lung-fei
7
Lesage, James P.
7
Li, Guodong
7
Liu, Zhi
7
Pesaran, M. Hashem
7
Shin, Yongcheol
7
Ullah, Aman
7
White, Halbert
7
Ardia, David
6
Bollerslev, Tim
6
Cai, Zongwu
6
Egger, Peter
6
Feng, Yuanhua
6
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Journal of econometrics
2
Econometric reviews
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
The econometrics journal
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ECONIS (ZBW)
9
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1
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
4
Nonstationary GARCH with tt-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
- In:
Economics letters
138
(
2016
),
pp. 19-21
Persistent link: https://www.econbiz.de/10011615340
Saved in:
5
Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
Saved in:
6
Estimation and asymptotic inference in the AR-ARCH model
Lange, Theis
;
Rahbek, Anders
;
Jensen, Søren Tolver
- In:
Econometric reviews
30
(
2011
)
2
,
pp. 129-153
Persistent link: https://www.econbiz.de/10008990449
Saved in:
7
Asymptotic inference for nonstationary GARCH
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometric theory
20
(
2004
)
6
,
pp. 1203-1226
Persistent link: https://www.econbiz.de/10002424931
Saved in:
8
Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometrica : journal of the Econometric Society, an …
72
(
2004
)
2
,
pp. 641-646
Persistent link: https://www.econbiz.de/10001978054
Saved in:
9
Asymptotic inference on cointegrating rank in partial systems
Harbo, Ingrid
;
Johansen, Søren
;
Nielsen, Bent
;
Rahbek, …
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 388-399
Persistent link: https://www.econbiz.de/10001251806
Saved in:
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