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Copulas
1
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1
GARCH
1
Girsanov’s theorem for semimartingales
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Goodness-of-fit tests
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Itô’s formula
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Lévy process
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asymptotic normality
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bootstrap
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cointegration
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compound Poisson process
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disorder (quickest detection) problem
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error correction models
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forecasting
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goodness\-of\-fit test
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integro-differential free-boundary problem
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local linear regression
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measure of jumps and its compensator
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model selection
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optimal stopping
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penalized goodness-of-fit criteria
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principles of smooth and continuous fit
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varying\-coefficient models
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α\-mixing
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Yao, Qiwei
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1
Chen, Xiaohong
1
Fan, Jianqing
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Fan, Yanqin
1
Gapeev, Pavel V.
1
Li, Qiaoling
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Pan, Jiazhu
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London School of Economics (LSE)
International Monetary Fund (IMF)
34
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
24
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
14
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
9
HAL
7
Department of Economics and Business, Universitat Pompeu Fabra
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
6
Tilburg University, Center for Economic Research
6
Université Paris-Dauphine (Paris IX)
6
School of Economics and Management, University of Aarhus
5
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
4
Cowles Foundation for Research in Economics, Yale University
4
Departamento de Estadistica, Universidad Carlos III de Madrid
4
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
3
Department of Economics, Oxford University
3
Department of Economics, University of Victoria
3
Erasmus University Rotterdam, Econometric Institute
3
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
Université Paris-Dauphine
3
Center for Economic and Financial Research (CEFIR), New Economic School (NES)
2
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
2
Collegio Carlo Alberto, Università degli Studi di Torino
2
Department of Economics, University of Warwick
2
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International Monetary Fund
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Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna
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Programa Interuniversitario de Doctorado en Nuevas Tendencias en Dirección de Empresas, Facultad de Cièncias Económicas y Empresariales
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Society for Computational Economics - SCE
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ToKnowPress
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University of Bonn, Germany
2
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LSE Research Online Documents on Economics
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RePEc
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1
On determination of cointegration ranks
Li, Qiaoling
;
Pan, Jiazhu
;
Yao, Qiwei
-
London School of Economics (LSE)
-
2009
the cointegration rank, together with the lag order, is determined by a penalized goodness-of-
fit
measure. We have shown …
Persistent link: https://www.econbiz.de/10010746018
Saved in:
2
The disorder problem for compound Poisson processes with exponential jumps
Gapeev, Pavel V.
-
London School of Economics (LSE)
-
2005
-boundary problem where, in some cases, the smooth-
fit
principle breaks down and is replaced by the principle of continuous
fit
. …
Persistent link: https://www.econbiz.de/10011071106
Saved in:
3
Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong
;
Fan, Yanqin
;
Patton, Andrew J.
-
London School of Economics (LSE)
-
2004
paper we develop two simple goodness-of-
fit
tests for such models. We use these tests to determine whether the multivariate …
Persistent link: https://www.econbiz.de/10010746302
Saved in:
4
Functional-coefficient regression models for nonlinear time series
Cai, Zongwu
;
Fan, Jianqing
;
Yao, Qiwei
-
London School of Economics (LSE)
-
2000
forecasting performance. Also proposed are a new bootstrap test for the goodness of
fit
of models and a bandwidth selector based …
Persistent link: https://www.econbiz.de/10011126715
Saved in:
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