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~person:"Cavaliere, Giuseppe"
~source:"econis"
~subject:"VAR-Modell"
~type_genre:"Arbeitspapier"
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VAR-Modell
Bootstrap approach
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Time series analysis
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Zeitreihenanalyse
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Estimation theory
10
Schätztheorie
10
Volatility
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Volatilität
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Kointegration
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Theorie
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Heteroscedasticity
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conditional sum-of-squares
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fractional integration
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quasi-maximum likelihood estimation
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wild bootstrap
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(un)conditional heteroskedasticity
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Arbeitspapier
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Cavaliere, Giuseppe
Rahbek, Anders
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Taylor, Robert
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Discussion papers / Department of Economics, University of Copenhagen
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CREATES research paper
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ECONIS (ZBW)
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Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
-
2012
Persistent link: https://www.econbiz.de/10009614389
Saved in:
2
Bootstrap determination of the co-integration rank in heteroskedastic VAR Models
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
-
2012
Persistent link: https://www.econbiz.de/10009614507
Saved in:
3
Bootstrap sequential determination of the co-integration rank in VAR-models
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
-
2010
Persistent link: https://www.econbiz.de/10003932344
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