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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:"Hualde, Javier"
~person:"Hyndman, Rob J."
~person:"Kanaya, Shin"
~person:"Linton, Oliver"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Method of moments"
~subject:"Statistical distribution"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Method of moments
Statistical distribution
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
37
Schätztheorie
37
Nichtparametrisches Verfahren
16
Nonparametric statistics
16
Time series analysis
11
Theorie
8
Theory
8
Regression analysis
6
Regressionsanalyse
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Volatility
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Volatilität
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Estimation
3
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Stochastischer Prozess
3
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consistency
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deterministic trend
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fractional process
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generalized polynomial trend
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noninvertibility
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ARMA model
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ARMA-Modell
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IV-Schätzung
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Induktive Statistik
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Francq, Christian
Hualde, Javier
Hyndman, Rob J.
Kanaya, Shin
Linton, Oliver
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Phillips, Peter C. B.
8
Teräsvirta, Timo
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
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
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3
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CREATES research paper
Discussion papers in economics
Econometric theory
Journal of time series econometrics
Journal of econometrics
25
Working paper / Department of Econometrics and Business Statistics, Monash University
19
CEMMAP working papers / Centre for Microdata Methods and Practice
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Cambridge working papers in economics
8
Econometrics papers
6
International journal of forecasting
4
Janeway Institute working paper series
3
Economics letters
2
Handbook of financial time series
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Queen's Economics Department working paper
2
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2
Annals of economics and statistics
1
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1
Cowles Foundation discussion paper
1
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1
Econometric reviews
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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
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Insurance / Mathematics & economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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The econometrics journal
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Working papers / Department of Economics, Universidad Carlos III de Madrid
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
Hualde, Javier
;
Iacone, Fabrizio
-
2015
Persistent link: https://www.econbiz.de/10011318412
Saved in:
7
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
8
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
-
2013
Persistent link: https://www.econbiz.de/10009790613
Saved in:
9
Averaging of an increasing number of moment condition estimators
Chen, Xiaohong
;
Jacho-Chávez, David T.
;
Linton, Oliver
- In:
Econometric theory
32
(
2016
)
1
,
pp. 30-70
Persistent link: https://www.econbiz.de/10011578413
Saved in:
10
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin
;
Kristensen, Dennis
- In:
Econometric theory
32
(
2016
)
4
,
pp. 861-916
Persistent link: https://www.econbiz.de/10011644214
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