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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:"Jong, Robert M. de"
~person:"Kokoszka, Piotr"
~person:"Taylor, Robert"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Commodity derivative"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
~type_genre:"Non-commercial literature"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Commodity derivative
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
4
Schätztheorie
4
Time series analysis
4
Heteroscedasticity
3
Heteroskedastizität
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Estimation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Schätzung
2
ARMA model
1
ARMA-Modell
1
Commodity price
1
Fractional integration
1
Lagrange multiplier testing principle
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Rohstoffderivat
1
Rohstoffpreis
1
Statistical test
1
Statistischer Test
1
Structural break
1
Strukturbruch
1
Volatility
1
Volatilität
1
adaptive estimation
1
conditional heteroskedasticity
1
conditional sum-of-squares
1
fractional integration
1
heteroskedasticity
1
level breaks
1
local Whittle likelihood
1
quasi-maximum likelihood estimation
1
spurious long memory
1
wild bootstrap
1
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Working Paper
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English
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Jong, Robert M. de
Kokoszka, Piotr
Taylor, Robert
Zakoïan, Jean-Michel
Nielsen, Morten Ørregaard
14
Teräsvirta, Timo
8
Johansen, Søren
7
Christensen, Kim
4
Kristensen, Dennis
4
MacKinnon, James G.
4
Podolskij, Mark
4
Andersen, Torben
3
Cavaliere, Giuseppe
3
Kruse, Robinson
3
Proietti, Tommaso
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
3
Christensen, Bent Jesper
2
Ergemen, Yunus Emre
2
Grassi, Stefano
2
Gørgens, Tue
2
Hualde, Javier
2
Kanaya, Shin
2
Kang, Jian
2
Kock, Anders Bredahl
2
Nielsen, Bent
2
Pedersen, Rasmus Søndergaard
2
Rahbek, Anders
2
Rossi, Eduardo
2
Seong, Dakyung
2
Veliyev, Bezirgen
2
Würtz, Allan H.
2
Yang, Yukai
2
Amado, Cristina
1
Andreasen, Martin M.
1
Bennedsen, Mikkel
1
Berenguer-Rico, Vanessa
1
Bredahl Kock, Anders
1
Bugni, Federico A.
1
Bunzel, Helle
1
Callot, Laurent A. F.
1
Caner, Mehmet
1
Casas, Isabel
1
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CREATES research paper
Econometric theory
Journal of time series econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Queen's Economics Department working paper
4
Discussion papers of interdisciplinary research project 373
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
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ECONIS (ZBW)
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
2
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
3
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
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