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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion papers in economics"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~language:"eng"
~person:"Francq, Christian"
~person:"Hafner, Christian M."
~person:"Hualde, Javier"
~person:"Hyndman, Rob J."
~person:"Linton, Oliver"
~person:"Teräsvirta, Timo"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Method of moments"
~subject:"Statistical distribution"
~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
Method of moments
Statistical distribution
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
44
Schätztheorie
44
Time series analysis
15
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Theorie
8
Theory
8
Regression analysis
7
Regressionsanalyse
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Volatility
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Volatilität
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Autokorrelation
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Estimation
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Multivariate analysis
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Nichtlineare Regression
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Nonlinear regression
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Schätzung
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Correlation
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Korrelation
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Statistical test
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Statistischer Test
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VAR-Modell
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Asymptotic normality
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Börsenkurs
2
Share price
2
consistency
2
deterministic trend
2
fractional process
2
generalized polynomial trend
2
noninvertibility
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Australia
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Francq, Christian
Hafner, Christian M.
Hualde, Javier
Hyndman, Rob J.
Linton, Oliver
Teräsvirta, Timo
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Phillips, Peter C. B.
8
Cavaliere, Giuseppe
7
Kristensen, Dennis
7
Taylor, Robert
7
Abadir, Karim Maher
6
Chan, Ngai Hang
6
Gao, Jiti
6
Saikkonen, Pentti
6
Horváth, Lajos
5
Li, Degui
5
Politis, Dimitris N.
5
Smith, Richard J.
5
Andersen, Torben
4
Chen, Jia
4
Christensen, Kim
4
Iacone, Fabrizio
4
Kanaya, Shin
4
Karanasos, Menelaos
4
Leybourne, Stephen James
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Asai, Manabu
3
Bugni, Federico A.
3
Chambers, Marcus J.
3
Chen, Xiaohong
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Guggenberger, Patrik
3
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CREATES research paper
Discussion papers in economics
Econometric theory
Journal of time series econometrics
Journal of econometrics
27
Working paper / Department of Econometrics and Business Statistics, Monash University
19
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Cambridge working papers in economics
8
Econometric reviews
6
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6
International journal of forecasting
6
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6
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4
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Economics letters
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Handbook of financial time series
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Econometrics : open access journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of the American Statistical Association : JASA
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Queen's Economics Department working paper
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SSE EFI working paper series in economics and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CEA_372Cass working paper series
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Cowles Foundation discussion paper
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Discussion paper / Department of Economics, University of California San Diego
1
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
1
Econometric analysis of financial and economic time series ; part a
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance research letters
1
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ECONIS (ZBW)
28
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
Saved in:
3
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
4
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
5
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
6
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
7
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
8
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
9
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
36
(
2020
)
4
,
pp. 751-772
Persistent link: https://www.econbiz.de/10012258429
Saved in:
10
Inference on a semiparametric model with global power law and local nonparametric trends
Gao, Jiti
;
Linton, Oliver
;
Peng, Bin
- In:
Econometric theory
36
(
2020
)
2
,
pp. 223-249
Persistent link: https://www.econbiz.de/10012193746
Saved in:
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