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subject:"Monte Carlo simulation"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~subject:"Zeitreihenanalyse"
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Monte Carlo simulation
Zeitreihenanalyse
Maximum likelihood estimation
165
Maximum-Likelihood-Schätzung
164
Estimation theory
99
Schätztheorie
99
Theorie
35
Theory
35
Autocorrelation
25
Autokorrelation
25
Time series analysis
23
Stochastic process
20
Stochastischer Prozess
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Estimation
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Panel
19
Panel study
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Schätzung
19
ARCH model
15
ARCH-Modell
15
Method of moments
14
Momentenmethode
14
Regression analysis
14
Regressionsanalyse
14
Volatility
14
Volatilität
14
Maximum likelihood
13
Räumliche Interaktion
13
Spatial interaction
13
Statistical distribution
12
Statistische Verteilung
12
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Regional economics
10
Regionalökonomik
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Monte-Carlo-Simulation
9
USA
9
United States
9
Bootstrap approach
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32
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Nielsen, Morten Ørregaard
5
Cavaliere, Giuseppe
3
Koopman, Siem Jan
3
Taylor, Robert
3
Blasques, Francisco
2
Kim, Donggyu
2
Wang, Yazhen
2
Zha, Tao
2
Asai, Manabu
1
Brummelen, Janneke van
1
Chang, Chia-Lin
1
Chang, Yoosoon
1
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1
Chen, Xiaohong
1
Cui, Xiangyu
1
Czado, Claudia
1
Erhardt, Vinzenz
1
Fiorentini, Gabriele
1
Francq, Christian
1
Galesi, Alessandro
1
Gao, Jiti
1
Gaure, Simen
1
Giesecke, Kay
1
Hayakawa, Kazuhiko
1
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Horowitz, Joel
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Li, Haitao
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1
Lu, Zhiping
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CREATES research paper
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
Economic modelling
Journal of econometrics
Discussion paper / Tinbergen Institute
32
Econometric reviews
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
International journal of forecasting
5
Working paper / Department of Econometrics and Business Statistics, Monash University
5
Computational economics
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Queen's Economics Department working paper
4
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
4
Working paper
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Working paper / National Bureau of Economic Research, Inc.
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
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Tinbergen Institute Discussion Paper
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Bank of Finland research discussion papers
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Central European journal of economic modelling and econometrics
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Economics letters
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ECONIS (ZBW)
32
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1
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
2
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
4
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
5
Using penalized likelihood to select parameters in a random coefficients multinomial logit model
Horowitz, Joel
;
Nesheim, Lars
- In:
Journal of econometrics
222
(
2021
)
1,1
,
pp. 44-55
Persistent link: https://www.econbiz.de/10012619339
Saved in:
6
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
7
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
Saved in:
8
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 559-573
Persistent link: https://www.econbiz.de/10012439500
Saved in:
9
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
10
A spectral EM algorithm for dynamic factor models
Fiorentini, Gabriele
;
Galesi, Alessandro
;
Sentana, Enrique
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 249-279
Persistent link: https://www.econbiz.de/10012110263
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