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Search: subject:"Asymptotic mixed normality"
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Estimation theory
4
Schätztheorie
4
Asymptotic mixed normality
2
Cointegration
2
Cointegration model
2
Cointegration rank
2
Elliptical densities
2
Kointegration
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Lagrange multiplier test
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Heteroskedasticity and autocorrelation
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High frequency data
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Latent correlation
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Local Asymptotic Brownian Functional
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Local Asymptotic Mixed Normality
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Local Asymptotic Normality
1
Local asymptotic Brownian functional
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Local asymptotic mixed normality
1
Local asymptotic normality
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Method of moments
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Momentenmethode
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Akker, Ramon van den
2
Hallin, Marc
2
Werker, Bas J. M.
2
Hwang, Jungbin
1
Kimura, Akitoshi
1
Sun, Yixiao
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Yoshida, Nakahiro
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Journal of econometrics
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Discussion paper / Center for Economic Research, Tilburg University
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ECONIS (ZBW)
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Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
-
2015
Persistent link: https://www.econbiz.de/10011348908
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2
Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework
Hwang, Jungbin
;
Sun, Yixiao
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 381-405
Persistent link: https://www.econbiz.de/10012116364
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3
Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
Saved in:
4
Estimation of correlation between latent processes
Kimura, Akitoshi
;
Yoshida, Nakahiro
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 131-146)
.
2016
Persistent link: https://www.econbiz.de/10011800345
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