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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CEMFI working paper"
~isPartOf:"Documento de trabajo / Centro de Estudios Monetarios y Financieros"
~person:"Sentana, Enrique"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
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Stochastischer Prozess
Volatility
Zeitreihenanalyse
Estimation theory
24
Schätztheorie
24
Statistical test
11
Statistischer Test
11
Time series analysis
5
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
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Theorie
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Theory
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VAR model
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VAR-Modell
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Generalized extremum tests
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Modellierung
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Multivariate Verteilung
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Multivariate distribution
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Regression analysis
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Regressionsanalyse
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Scientific modelling
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finite normal mixtures
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higher-order identifiability
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likelihood ratio test
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ARCH model
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ARCH-Modell
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Correlation
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Estimation
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Factor analysis
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Faktorenanalyse
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Hessian matrix
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Method of moments
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Momentenmethode
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Multivariate Analyse
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Multivariate analysis
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Schätzung
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Statistical distribution
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Sentana, Enrique
Fiorentini, Gabriele
6
Amengual, Dante
2
Alvarez, Javier
1
Arellano, Manuel
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Magnus, Jan R.
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Manresa, Elena
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Peñaranda, Francisco
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CEMFI working paper
Documento de trabajo / Centro de Estudios Monetarios y Financieros
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1
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1
Discussion paper / Tinbergen Institute
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Oxford Financial Research Centre economics series
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ECONIS (ZBW)
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Specification tests for non-Gaussian structural vector autoregressions
Amengual, Dante
;
Fiorentini, Gabriele
;
Sentana, Enrique
-
2022
Persistent link: https://www.econbiz.de/10013540674
Saved in:
2
The Jacobian of the exponential function
Magnus, Jan R.
;
Pijls, Henk G. J.
;
Sentana, Enrique
-
2020
Persistent link: https://www.econbiz.de/10012309669
Saved in:
3
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
Fiorentini, Gabriele
;
Sentana, Enrique
-
2020
Persistent link: https://www.econbiz.de/10012310522
Saved in:
4
Empirical evaluation of overspecified asset pricing models
Manresa, Elena
;
Peñaranda, Francisco
;
Sentana, Enrique
-
2017
Persistent link: https://www.econbiz.de/10011686422
Saved in:
5
Neglected serial correlation tests in UCARIMA models
Fiorentini, Gabriele
;
Sentana, Enrique
-
2014
Persistent link: https://www.econbiz.de/10011408229
Saved in:
6
Dynamic specification tests for dynamic factor models
Fiorentini, Gabriele
;
Sentana, Enrique
-
2013
Persistent link: https://www.econbiz.de/10010376711
Saved in:
7
Sequential estimation of shape parameters in multivariate dynamic models
Amengual, Dante
;
Fiorentini, Gabriele
;
Sentana, Enrique
-
2012
Persistent link: https://www.econbiz.de/10009743572
Saved in:
8
Dynamic specification tests for static factor models
Fiorentini, Gabriele
;
Sentana, Enrique
-
2009
Persistent link: https://www.econbiz.de/10003914397
Saved in:
9
The relation between conditionally heteroskedastic factor models and factor GARCH models
Sentana, Enrique
-
1997
Persistent link: https://www.econbiz.de/10000994721
Saved in:
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