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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Finance and stochastics"
~person:"Nielsen, Morten Ørregaard"
~subject:"Black-Scholes-Modell"
~subject:"Theory"
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Stochastischer Prozess
Volatility
Black-Scholes-Modell
Theory
Estimation theory
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Schätztheorie
15
Time series analysis
11
Zeitreihenanalyse
11
Bootstrap approach
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Bootstrap-Verfahren
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Cluster analysis
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Clusteranalyse
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Cointegration
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Estimation
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Heteroscedasticity
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Induktive Statistik
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Kointegration
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Regional cluster
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Regionales Cluster
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Schätzung
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Statistical inference
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cluster-robust variance estimator
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nonstationarity
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wild cluster bootstrap
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Asymptotic normality
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Maximum likelihood estimation
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clustered data
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conditional heteroskedasticity
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consistency
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deterministic trend
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fractional process
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generalized polynomial trend
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noninvertibility
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robust inference
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Nielsen, Morten Ørregaard
Teräsvirta, Timo
4
Kristensen, Dennis
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
3
Barndorff-Nielsen, Ole E.
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Bennedsen, Mikkel
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Lunde, Asger
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Pakkanen, Mikko S.
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Podolskij, Mark
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Rossi, Eduardo
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Amado, Cristina
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Andersen, Torben
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Anh, V. V.
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Azencott, Robert
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Callot, Laurent
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Callot, Laurent A. F.
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Caner, Mehmet
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Casas, Isabel
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Cattaneo, Matias D.
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Cavaliere, Giuseppe
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Demetrescum, Matei
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CREATES research paper
Finance and stochastics
Econometric reviews
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Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
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2
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:
3
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
2014
Persistent link: https://www.econbiz.de/10010413826
Saved in:
4
Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
-
2010
Persistent link: https://www.econbiz.de/10008651639
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