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subject:"Nonparametric statistics"
subject:"Regressionsanalyse"
~isPartOf:"CREATES research paper"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH model"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Nonparametric statistics
Regressionsanalyse
ARCH model
USA
Estimation theory
240
Schätztheorie
240
Time series analysis
109
Zeitreihenanalyse
109
Estimation
51
Schätzung
51
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32
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Teräsvirta, Timo
7
Cattaneo, Matias D.
5
Jansson, Michael
5
Kristensen, Dennis
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Nielsen, Morten Ørregaard
4
Silvennoinen, Annastiina
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Rahbek, Anders
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Bu, Ruijun
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Enders, Walter
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Hadri, Kaddour
2
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2
Kock, Anders Bredahl
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Taylor, Robert
2
Yang, Yukai
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Amado, Cristina
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CREATES research paper
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
559
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
278
Econometric theory
199
Economics letters
193
CEMMAP working papers / Centre for Microdata Methods and Practice
184
Journal of the American Statistical Association : JASA
144
Econometric reviews
142
The econometrics journal
114
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
97
Discussion paper / Tinbergen Institute
81
Discussion paper series / IZA
74
Discussion papers of interdisciplinary research project 373
68
Cowles Foundation discussion paper
67
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
64
Working paper / Department of Econometrics and Business Statistics, Monash University
54
NBER working paper series
53
Working paper / National Bureau of Economic Research, Inc.
53
Journal of applied econometrics
52
NBER Working Paper
52
The review of economics and statistics
51
European journal of operational research : EJOR
50
Cowles Foundation Discussion Paper
49
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
48
International journal of forecasting
48
Quantitative economics : QE ; journal of the Econometric Society
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Econometrics : open access journal
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SFB 649 discussion paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
44
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41
Econometrics papers
41
Série des documents de travail / Centre de Recherche en Économie et Statistique
40
Applied economics
39
Applied economics letters
39
Economic modelling
39
Discussion paper / Center for Economic Research, Tilburg University
37
Computational economics
36
Insurance / Mathematics & economics
36
Journal of forecasting
36
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ECONIS (ZBW)
93
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1
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93
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
3
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:
4
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
5
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
6
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
7
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
8
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
9
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
10
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
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