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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:"Parra-Alvarez, Juan Carlos"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Risikomaß"
~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
Risikomaß
Statistische Verteilung
Zeitreihenanalyse
Estimation theory
10
Schätztheorie
10
Statistical distribution
4
Time series analysis
3
Econometrics
2
Ökonometrie
2
APARCH
1
Agent-based modeling
1
Agentenbasierte Modellierung
1
Asymmetric Student-t distribution
1
Beta-t-GARCH
1
Conditional heteroskedasticity
1
Continuous-time
1
DSGE model
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DSGE models
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DSGE-Modell
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Dynamic equilibrium
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Dynamisches Gleichgewicht
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Estimation
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Fokker-Planck equations
1
Heterogeneous agent models
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Heteroscedasticity
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Heteroskedastizität
1
Induktive Statistik
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Kalman filter
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Kullback-Leibler divergence
1
LAN in time series
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Maximum likelihood
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Measurement
1
Messung
1
Quadratic mean differentiability
1
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1
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Francq, Christian
Parra-Alvarez, Juan Carlos
Nielsen, Morten Ørregaard
14
Johansen, Søren
11
Linton, Oliver
8
Phillips, Peter C. B.
8
Teräsvirta, Timo
8
Kohn, Robert
7
Kristensen, Dennis
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
Chen, Xiaohong
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
Peng, Liang
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper series
Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
CESifo working papers
1
Discussion paper
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 business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of the American Statistical Association : JASA
1
Oxford bulletin of economics and statistics
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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ECONIS (ZBW)
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1
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
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:
3
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
4
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:
5
Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos
;
Posch, Olaf
;
Wang, Mu-Chun
-
2020
Persistent link: https://www.econbiz.de/10012317765
Saved in:
6
Identification and estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos
;
Posch, Olaf
;
Wang, Mu-Chun
-
2017
Persistent link: https://www.econbiz.de/10011750340
Saved in:
7
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:
8
Estimating weak GARCH representations
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
16
(
2000
)
5
,
pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
Saved in:
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