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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"
~person:"Francq, Christian"
~person:"Kristensen, Dennis"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Statistische Verteilung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Statistische Verteilung
Zeitreihenanalyse
Estimation theory
19
Schätztheorie
19
Time series analysis
7
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Estimation
4
Schätzung
4
Statistical test
4
Statistischer Test
4
Volatility
4
Volatilität
4
Statistical distribution
3
Stochastic process
3
Stochastischer Prozess
3
Cointegration
2
Core
2
Kointegration
2
Theorie
2
Theory
2
APARCH
1
Asymmetric Student-t distribution
1
Beta-t-GARCH
1
Conditional heteroskedasticity
1
Heteroscedasticity
1
Heteroskedastizität
1
Induktive Statistik
1
Innovation diffusion
1
Innovationsdiffusion
1
LAN in time series
1
Measurement
1
Messung
1
Modellierung
1
Multivariate Verteilung
1
Multivariate distribution
1
Nichtlineare Regression
1
Nonlinear regression
1
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7
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2
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Book / Working Paper
7
Article
5
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Arbeitspapier
7
Graue Literatur
7
Non-commercial literature
7
Working Paper
7
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5
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English
12
Author
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Francq, Christian
Kristensen, Dennis
Nielsen, Morten Ørregaard
14
Johansen, Søren
11
Linton, Oliver
8
Phillips, Peter C. B.
8
Teräsvirta, Timo
8
Kohn, Robert
7
Taylor, Robert
7
Cavaliere, Giuseppe
6
Saikkonen, Pentti
6
Zakoïan, Jean-Michel
6
Canepa, Alessandra
5
Chan, Ngai Hang
5
Gao, Jiti
5
Horváth, Lajos
5
Politis, Dimitris N.
5
Kanaya, Shin
4
Leybourne, Stephen James
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Zhang, Rongmao
4
Asai, Manabu
3
Carter, Chris K.
3
Chambers, Marcus J.
3
Christensen, Kim
3
Grassi, Stefano
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hualde, Javier
3
Jentsch, Carsten
3
Kokoszka, Piotr
3
Li, Degui
3
Ling, Shiqing
3
Musolesi, Antonio
3
Nielsen, Bent
3
Parra-Alvarez, Juan Carlos
3
Peng, Liang
3
Podolskij, Mark
3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper series
Journal of econometrics
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
CREATES Research Paper
1
CREATES Research Paper 2007-1
1
Columbia economics discussion paper series / Department of Economics, Columbia University
1
Discussion papers / Department of Economics, University of Copenhagen
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of the American Statistical Association : JASA
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The econometrics journal
1
Univ. of Copenhagen Dept. of Economics Discussion Paper
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ECONIS (ZBW)
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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
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
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
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
Saved in:
5
Nonparametric detection and estimation of structural change
Kristensen, Dennis
-
2011
Persistent link: https://www.econbiz.de/10008986681
Saved in:
6
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
Saved in:
7
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin
;
Kristensen, Dennis
-
2010
Persistent link: https://www.econbiz.de/10008663983
Saved in:
8
Semi-nonparametric estimation and misspecification testing of diffusion models
Kristensen, Dennis
-
2010
Persistent link: https://www.econbiz.de/10008651700
Saved in:
9
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Kristensen, Dennis
-
2009
Persistent link: https://www.econbiz.de/10003878806
Saved in:
10
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:
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