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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:"Linton, Oliver"
~person:"Proietti, Tommaso"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Method of moments"
~subject:"Regressionsanalyse"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Method of moments
Regressionsanalyse
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
32
Schätztheorie
32
Time series analysis
10
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Theorie
8
Theory
8
Regression analysis
6
Asymptotic normality
2
Volatility
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consistency
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deterministic trend
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generalized polynomial trend
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noninvertibility
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ARMA model
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ARMA-Modell
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Bias
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Electricity price
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Estimation
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IV-Schätzung
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Induktive Statistik
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Instrumental variables
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Metal market
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Metallmarkt
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Momentenmethode
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Probability theory
1
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Francq, Christian
Hualde, Javier
Hyndman, Rob J.
Linton, Oliver
Proietti, Tommaso
Nielsen, Morten Ørregaard
17
Phillips, Peter C. B.
13
Johansen, Søren
11
Cavaliere, Giuseppe
8
Teräsvirta, Timo
8
Chan, Ngai Hang
7
Su, Liangjun
7
Taylor, Robert
7
Kristensen, Dennis
6
Saikkonen, Pentti
6
Gao, Jiti
5
Horváth, Lajos
5
Politis, Dimitris N.
5
Wang, Qiying
5
Xiao, Zhijie
5
Andersen, Torben
4
Caner, Mehmet
4
Chambers, Marcus J.
4
Chen, Songnian
4
Christensen, Kim
4
Georgiev, Iliyan
4
Kanaya, Shin
4
Kock, Anders Bredahl
4
Kong, Efang
4
Leybourne, Stephen James
4
Li, Degui
4
Li, Qi
4
MacKinnon, James G.
4
Newey, Whitney K.
4
Nielsen, Bent
4
Peng, Liang
4
Podolskij, Mark
4
Rahbek, Anders
4
Robinson, Peter M.
4
Sun, Yixiao
4
Xia, Yingcun
4
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4
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
27
Working paper / Department of Econometrics and Business Statistics, Monash University
20
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Cambridge working papers in economics
9
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
CEIS Working Paper
7
Econometrics papers
7
International journal of forecasting
5
Janeway Institute working paper series
3
Econometric reviews
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
Advanced texts in econometrics
1
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1
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1
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1
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1
Discussion papers of interdisciplinary research project 373
1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic modelling
1
Handbook of research methods and applications in empirical macroeconomics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The econometrics journal
1
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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
A Durbin-Levinson regularized estimator of high dimensional autocovariance matrices
Proietti, Tommaso
;
Giovannelli, Alessandro
-
2017
Persistent link: https://www.econbiz.de/10011648644
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
A generalized exponential time series regression model for electricity prices
Haldrup, Niels
;
Knapik, O.
;
Proietti, Tommaso
-
2016
Persistent link: https://www.econbiz.de/10011447820
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
The exponential model for the spectrum of a time series : extensions and applications
Proietti, Tommaso
;
Luati, Alessandra
-
2013
Persistent link: https://www.econbiz.de/10010195675
Saved in:
9
Nonparametric transformation regression with nonstationary data
Linton, Oliver
;
Wang, Qiying
- In:
Econometric theory
32
(
2016
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011578411
Saved in:
10
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
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