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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~language:"eng"
~person:"Francq, Christian"
~person:"Hualde, Javier"
~person:"Hyndman, Rob J."
~person:"Kristensen, Dennis"
~person:"Linton, Oliver"
~person:"Zhang, Rongmao"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"consistency"
~subject:"generalized polynomial trend"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Estimation
Method of moments
Statistical inference
Zeitreihenanalyse
consistency
generalized polynomial trend
nonstationarity
Estimation theory
43
Schätztheorie
43
Nichtparametrisches Verfahren
14
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14
Time series analysis
14
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9
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fractional process
2
noninvertibility
2
ARMA model
1
ARMA-Modell
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1
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1
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Francq, Christian
Hualde, Javier
Hyndman, Rob J.
Kristensen, Dennis
Linton, Oliver
Zhang, Rongmao
Nielsen, Morten Ørregaard
17
Johansen, Søren
12
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Phillips, Peter C. B.
7
Taylor, Robert
7
Chan, Ngai Hang
6
Saikkonen, Pentti
6
Horváth, Lajos
5
Politis, Dimitris N.
5
Andersen, Torben
4
Christensen, Kim
4
Gao, Jiti
4
Kanaya, Shin
4
Lee, Lung-fei
4
Leybourne, Stephen James
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
Bugni, Federico A.
3
Cai, Zongwu
3
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3
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3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Guggenberger, Patrik
3
Hafner, Christian M.
3
Hahn, Jinyong
3
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3
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3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
29
Working paper / Department of Econometrics and Business Statistics, Monash University
19
CEMMAP working papers / Centre for Microdata Methods and Practice
17
Cambridge working papers in economics
11
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9
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5
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4
International journal of forecasting
4
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3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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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
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Handbook of financial time series
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
Journal of financial economics
1
LSE STICERD Research Paper
1
Quantitative economics : QE ; journal of the Econometric Society
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
Univ. of Copenhagen Dept. of Economics Discussion Paper
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Test for zero median of errors in an ARMA-GARCH model
Ma, Yaolan
;
Zhou, Mohan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
38
(
2022
)
3
,
pp. 536-561
Persistent link: https://www.econbiz.de/10013269973
Saved in:
5
Diffusion copulas : identification and estimation
Bu, Ruijun
;
Hadri, Kaddour
;
Kristensen, Dennis
-
2018
Persistent link: https://www.econbiz.de/10011913721
Saved in:
6
Nonparametric euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
- In:
Econometric theory
37
(
2021
)
5
,
pp. 851-891
Persistent link: https://www.econbiz.de/10012656387
Saved in:
7
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
8
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:
9
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:
10
Nonparametric detection and estimation of structural change
Kristensen, Dennis
-
2011
Persistent link: https://www.econbiz.de/10008986681
Saved in:
1
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