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type_genre:"Arbeitspapier"
type_genre:"Bibliographie enthalten"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Tinbergen Institute / Tinbergen Institute"
~isPartOf:"ECARES working paper"
~person:"Floor Brix, Anne"
~person:"Taylor, Robert"
~subject:"Maximum-Likelihood-Schätzung"
~type_genre:"Bibliografie"
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Maximum-Likelihood-Schätzung
Estimation theory
6
Schätztheorie
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Time series analysis
4
Zeitreihenanalyse
4
Estimation
3
Heteroscedasticity
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Heteroskedastizität
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Maximum likelihood estimation
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Schätzung
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Lagrange multiplier testing principle
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Stochastischer Prozess
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Structural break
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adaptive estimation
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conditional heteroskedasticity
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conditional sum-of-squares
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fractional integration
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Floor Brix, Anne
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Cavaliere, Giuseppe
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Nielsen, Morten Ørregaard
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Rahbek, Anders
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Bohn Nielsen, Heino
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Hillebrand, Eric
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Kollmann, Robert
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Kurita, Takamitsu
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Lunde, Asger
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Mikkelsen, Jakob Guldbæk
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Parra-Alvarez, Juan Carlos
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Pedersen, Rasmus Søndergaard
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Posch, Olaf
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Silvennoinen, Annastiina
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Teräsvirta, Timo
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CREATES research paper
Discussion paper / Tinbergen Institute / Tinbergen Institute
ECARES working paper
Queen's Economics Department working paper
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ECONIS (ZBW)
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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
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2020
Persistent link: https://www.econbiz.de/10012317803
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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
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3
Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger
;
Floor Brix, Anne
-
2013
Persistent link: https://www.econbiz.de/10009763883
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