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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"
~person:"Francq, Christian"
~person:"Tjostheim, Dag"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~type_genre:"Non-commercial literature"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Statistical inference
Zeitreihenanalyse
Estimation theory
6
Schätztheorie
6
Time series analysis
5
Cointegration
2
Kointegration
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Regression analysis
2
Regressionsanalyse
2
Statistical distribution
2
Statistische Verteilung
2
APARCH
1
Asymmetric Student-t distribution
1
Beta-t-GARCH
1
Conditional heteroskedasticity
1
Estimation
1
Heteroscedasticity
1
Heteroskedastizität
1
LAN in time series
1
Measurement
1
Messung
1
Multivariate Analyse
1
Multivariate analysis
1
Nichtlineare Regression
1
Nonlinear regression
1
Quadratic mean differentiability
1
Risiko
1
Risikomaß
1
Risk
1
Risk measure
1
Schätzung
1
Systemic risk
1
Systemrisiko
1
conditional CoVaR and Delta-CoVaR
1
empirical distribution of bivariate residuals
1
endogeneity
1
model-free estimation risk
1
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Francq, Christian
Tjostheim, Dag
Gao, Jiti
47
Peng, Bin
19
Nielsen, Morten Ørregaard
14
Hyndman, Rob J.
11
Martin, Gael M.
11
Dong, Chaohua
9
Yang, Yanrong
9
Poskitt, Donald Stephen
8
Teräsvirta, Timo
8
Johansen, Søren
7
Kohn, Robert
6
Yan, Yayi
6
Cheng, Tingting
5
Li, Degui
5
Linton, Oliver
5
Pan, Guangming
5
Sarafidis, Vasilis
5
Taylor, Robert
5
Zhang, Xibin
5
Canepa, Alessandra
4
Christensen, Kim
4
Frazier, David T.
4
Jiang, Bin
4
Kristensen, Dennis
4
Liu, Fei
4
MacKinnon, James G.
4
Podolskij, Mark
4
Andersen, Torben
3
Athanasopoulos, George
3
Cai, Biqing
3
Carter, Chris K.
3
Cavaliere, Giuseppe
3
Feng, Guohua
3
Forbes, Catherine Scipione
3
Grassi, Stefano
3
Grose, Simone D.
3
Jentsch, Carsten
3
Koo, Bonsoo
3
Kruse, Robinson
3
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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
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
Discussion papers of interdisciplinary research project 373
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
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ECONIS (ZBW)
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
;
Yin, Jiying
-
2016
-
Revised 14, 08
Persistent link: https://www.econbiz.de/10011781762
Saved in:
3
Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
;
Yin, Jiying
-
2014
Persistent link: https://www.econbiz.de/10010245240
Saved in:
4
Estimation for single-index and partially linear single-index nonstationary time series models
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
-
2014
Persistent link: https://www.econbiz.de/10010245242
Saved in:
5
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:
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