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subject:"Sampling"
subject:"Stichprobenerhebung"
~accessRights:"restricted"
~language:"eng"
~person:"Sucarrat, Genaro"
~person:"Zhang, Xinyu"
~person:"Ñíguez, Trino-Manuel"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Estimation theory
33
Schätztheorie
33
Modellierung
12
Scientific modelling
12
Model averaging
11
Time series analysis
10
Zeitreihenanalyse
10
ARCH-Modell
9
Forecasting model
9
Prognoseverfahren
9
Asymptotic optimality
8
Volatility
8
Volatilität
8
Bayes-Statistik
6
Bayesian inference
6
Capital income
6
Kapitaleinkommen
6
Estimation
4
Regression analysis
4
Regressionsanalyse
4
Schätzung
4
Statistical distribution
4
Statistische Verteilung
4
Autocorrelation
3
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3
Consistency
3
ARCH
2
ARCH models
2
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2
Correlation
2
Financial return
2
Finite sample size
2
Gram-Charlier series
2
Heteroscedasticity
2
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2
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English
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Sucarrat, Genaro
Zhang, Xinyu
Ñíguez, Trino-Manuel
Francq, Christian
9
Kumar, Dilip
8
Ardia, David
6
Zakoïan, Jean-Michel
5
Kim, Jong-Min
4
Li, Dong
4
Li, Guodong
4
Ling, Shiqing
4
Rahbek, Anders
4
Zhu, Ke
4
Arvanitis, Stelios
3
Bauwens, Luc
3
Blazsek, Szabolcs
3
Carnero, M. Angeles
3
Escribano, Álvaro
3
Hafner, Christian M.
3
Jung, Hojin
3
Kim, Donggyu
3
Licht, Adrian
3
Luger, Richard
3
Lütkepohl, Helmut
3
Nonejad, Nima
3
Otranto, Edoardo
3
Pedersen, Rasmus Søndergaard
3
Sianesi, Barbara
3
Teräsvirta, Timo
3
Tsay, Ruey S.
3
Wu, Xinyu
3
Zhang, Rongmao
3
Anatolyev, Stanislav
2
Anderson, Edward J.
2
Berens, Tobias
2
Bluteau, Keven
2
Cardós, Manuel
2
Castagliola, Philippe
2
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2
Chen, Cathy W. S.
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Economic modelling
1
Economics letters
1
Energy economics
1
Essays in honor of Subal Kumbhakar
1
Finance research letters
1
International journal of forecasting
1
Journal of banking & finance
1
Journal of financial econometrics
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
13
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1
Prediction using many samples with models possibly containing partially shared parameters
Zhang, Xinyu
;
Liu, Huihang
;
Wei, Yizheng
;
Ma, Yanyuan
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 187-196
Persistent link: https://www.econbiz.de/10014449883
Saved in:
2
Averaging heterogeneous autoregression models with heteroskedastic errors : theory and an application to cryptocurrency volatility forecasting
Gao, Ziwen
;
Lehrer, Steven F.
;
Xie, Tian
;
Zhang, Xinyu
- In:
Essays in honor of Subal Kumbhakar
,
(pp. 99-131)
.
2024
Persistent link: https://www.econbiz.de/10014559151
Saved in:
3
Correcting sample selection bias with model averaging for consumer demand forecasting
Zhao, Shangwei
;
Xie, Tian
;
Ai, Xin
;
Yang, Guangren
; …
- In:
Economic modelling
123
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014462569
Saved in:
4
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
Saved in:
5
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
6
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
7
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
8
A class of model averaging estimators
Zhao, Shangwei
;
Ullah, Aman
;
Zhang, Xinyu
- In:
Economics letters
162
(
2018
),
pp. 101-106
Persistent link: https://www.econbiz.de/10011939785
Saved in:
9
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
10
Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro
;
Escribano, Álvaro
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
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