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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~isPartOf:"Working paper series"
~language:"eng"
~person:"Francq, Christian"
~person:"Hyndman, Rob J."
~person:"Linton, Oliver"
~person:"Sarafidis, Vasilis"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Australia"
~subject:"Statistical inference"
~subject:"Statistische Verteilung"
~subject:"Zeitreihenanalyse"
~type:"article"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Australia
Statistical inference
Statistische Verteilung
Zeitreihenanalyse
Estimation theory
25
Schätztheorie
25
Nichtparametrisches Verfahren
8
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8
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8
Theory
8
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6
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6
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Francq, Christian
Hyndman, Rob J.
Linton, Oliver
Sarafidis, Vasilis
Phillips, Peter C. B.
8
Chan, Ngai Hang
5
Horváth, Lajos
5
Politis, Dimitris N.
5
Saikkonen, Pentti
5
Cavaliere, Giuseppe
4
Gao, Jiti
4
Johansen, Søren
4
Leybourne, Stephen James
4
Robinson, Peter M.
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Asai, Manabu
3
Chambers, Marcus J.
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Kokoszka, Piotr
3
Li, Qi
3
Ling, Shiqing
3
Nielsen, Morten Ørregaard
3
Peng, Liang
3
Pötscher, Benedikt M.
3
Seo, Won-Ki
3
Sun, Yixiao
3
Taylor, Robert
3
Velasco, Carlos
3
Xiao, Zhijie
3
Zaffaroni, Paolo
3
Zinde-Walsh, Victoria
3
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2
Berkes, István
2
Breitung, Jörg
2
Bugni, Federico A.
2
Chen, Haiqiang
2
Chen, Songnian
2
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2
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
Working paper series
Journal of econometrics
27
International journal of forecasting
4
The econometrics journal
3
Econometric reviews
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
Annals of economics and statistics
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
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Insurance / Mathematics & economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
SERIEs : Journal of the Spanish Economic Association
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ECONIS (ZBW)
12
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1
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:
2
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:
3
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:
4
Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver
;
Xiao, Zhijie
- In:
Econometric theory
29
(
2013
)
4
,
pp. 771-807
Persistent link: https://www.econbiz.de/10010210161
Saved in:
5
Local linear fitting under near epoch dependence : uniform consistency with convergence rates
Li, Degui
;
Lu, Zu-di
;
Linton, Oliver
- In:
Econometric theory
28
(
2012
)
5
,
pp. 935-958
Persistent link: https://www.econbiz.de/10009714729
Saved in:
6
Estimation of a semiparametric IGARCH (1,1) model
Kim, Woocheol
;
Linton, Oliver
- In:
Econometric theory
27
(
2011
)
3
,
pp. 639-661
Persistent link: https://www.econbiz.de/10009266722
Saved in:
7
Local linear fitting under near epoch dependence
Lu, Zudi
;
Linton, Oliver
- In:
Econometric theory
23
(
2007
)
1
,
pp. 37-70
Persistent link: https://www.econbiz.de/10003407421
Saved in:
8
Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
Iglesias, Emma M.
;
Linton, Oliver
- In:
Econometric theory
23
(
2007
)
6
,
pp. 1136-1161
Persistent link: https://www.econbiz.de/10003591844
Saved in:
9
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
10
A closed-form estimator for the GARCH (1,1) model
Kristensen, Dennis
;
Linton, Oliver
- In:
Econometric theory
22
(
2006
)
2
,
pp. 323-337
Persistent link: https://www.econbiz.de/10003301258
Saved in:
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