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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"Annals of economics and statistics"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of time series econometrics"
~language:"eng"
~person:"Jong, Robert M. de"
~person:"Taylor, Robert"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Commodity derivative"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Commodity derivative
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
5
Schätztheorie
5
Time series analysis
4
Estimation
3
Heteroscedasticity
3
Heteroskedastizität
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
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Schätzung
3
Bootstrap approach
2
Bootstrap-Verfahren
2
ARMA model
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ARMA-Modell
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Asymmetric Power GARCH
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Commodity price
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Distortion Risk Measures
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Estimation Risk
1
Fractional integration
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Lagrange multiplier testing principle
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Measurement
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Messung
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Nichtparametrisches Verfahren
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Non-Gaussian Quasi-Maximum Likelihood
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Nonparametric statistics
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Risikomanagement
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Risikomaß
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Risk
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Risk management
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Risk measure
1
Rohstoffderivat
1
Rohstoffpreis
1
Statistical test
1
Statistischer Test
1
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1
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Jong, Robert M. de
Taylor, Robert
Zakoïan, Jean-Michel
Nielsen, Morten Ørregaard
14
Teräsvirta, Timo
8
Johansen, Søren
7
Christensen, Kim
4
Kristensen, Dennis
4
MacKinnon, James G.
4
Podolskij, Mark
4
Andersen, Torben
3
Asai, Manabu
3
Cavaliere, Giuseppe
3
Gørgens, Tue
3
Kruse, Robinson
3
Proietti, Tommaso
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
3
Arvanitis, Stelios
2
Christensen, Bent Jesper
2
Demetrescu, Matei
2
Ergemen, Yunus Emre
2
Grassi, Stefano
2
Hualde, Javier
2
Kanaya, Shin
2
Kang, Jian
2
Kock, Anders Bredahl
2
Kurozumi, Eiji
2
Lange, Theis
2
McAleer, Michael
2
Nielsen, Bent
2
Pedersen, Rasmus Søndergaard
2
Peiris, Shelton
2
Politis, Dimitris N.
2
Rahbek, Anders
2
Rossi, Eduardo
2
Sanhaji, Bilel
2
Seong, Dakyung
2
Skrobotov, Anton
2
Veliyev, Bezirgen
2
Ventosa-Santaulària, Daniel
2
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2
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Annals of economics and statistics
CREATES research paper
Journal of time series econometrics
Journal of econometrics
17
Econometric theory
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Queen's Economics Department working paper
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
2
Annales d'économie et de statistique
1
CORE discussion paper : DP
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
1
Handbook of financial time series
1
Journal of the American Statistical Association : JASA
1
Oxford bulletin of economics and statistics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
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
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:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
5
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
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