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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 series"
~language:"eng"
~person:"Francq, Christian"
~person:"Hualde, Javier"
~person:"Hyndman, Rob J."
~person:"Linton, Oliver"
~person:"Robinson, Peter M."
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Induktive Statistik"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Induktive Statistik
Method of moments
Statistical inference
Zeitreihenanalyse
Estimation theory
36
Schätztheorie
36
Theorie
10
Theory
10
Time series analysis
9
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Regression analysis
6
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Estimation
3
Schätzung
3
Statistical distribution
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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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nonstationarity
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Beta-t-GARCH
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1
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Francq, Christian
Hualde, Javier
Hyndman, Rob J.
Linton, Oliver
Robinson, Peter M.
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Kohn, Robert
7
Phillips, Peter C. B.
7
Taylor, Robert
7
Chan, Ngai Hang
6
Kristensen, Dennis
6
Saikkonen, Pentti
6
Canepa, Alessandra
5
Horváth, Lajos
5
Politis, Dimitris N.
5
Zakoïan, Jean-Michel
5
Andersen, Torben
4
Christensen, Kim
4
Gao, Jiti
4
Kanaya, Shin
4
Leybourne, Stephen James
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Zhang, Rongmao
4
Asai, Manabu
3
Bugni, Federico A.
3
Carter, Chris K.
3
Chambers, Marcus J.
3
Chen, Xiaohong
3
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3
Grassi, Stefano
3
Grégoir, Stéphane
3
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3
Hafner, Christian M.
3
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3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper series
Journal of econometrics
32
Working paper / Department of Econometrics and Business Statistics, Monash University
18
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Econometrics papers
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Cambridge working papers in economics
8
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
8
International journal of forecasting
4
Janeway Institute working paper series
3
Suntory and Toyota International Centres for Economics and Related Disciplines
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
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
The econometrics journal
2
The review of economic studies
2
Annals of economics and statistics
1
Cambridge-INET working papers
1
Cowles Foundation discussion paper
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Discussion paper series / LSE Financial Markets Group
1
Discussion papers in economics
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
LSE STICERD Research Paper
1
Robust inference
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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1
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
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
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:
4
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:
5
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:
6
Estimation for dynamic panel data with individual effects
Robinson, Peter M.
;
Velasco, Carlos
- In:
Econometric theory
36
(
2020
)
2
,
pp. 185-222
Persistent link: https://www.econbiz.de/10012193732
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
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:
9
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:
10
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
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