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~subject:"Stochastischer Prozess"
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Search: subject:"Whittle likelihood"
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Stochastischer Prozess
Whittle likelihood
24
Time series analysis
8
Zeitreihenanalyse
8
Discrete Fourier transform
7
semiparametric estimation
7
Estimation theory
6
Fractional integration
6
Long memory
6
Schätztheorie
6
Stochastic process
6
long memory
6
Long Memory
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
local Whittle likelihood
5
nonstationarity
5
Lagrange multiplier testing principle
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Stochastic Volatility
4
fractional Brownian motion
4
fractional integration
4
Asymmetry
3
Stochastic volatility
3
Stochastische Volatilität
3
Structural break
3
Strukturbruch
3
Whittle Likelihood
3
conditional heteroskedasticity
3
level breaks
3
spurious long memory
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ARCH model
2
ARCH-Modell
2
Adaptive estimator
2
Asymptotic bias
2
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Fractional Brownian motion
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Gegenbauer Polynomial
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Shi, Shuping
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Yu, Jun
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Zhang, Chen
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Asai, Manabu
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Chang, Chia-Lin
1
Dubois, Florent
1
Dumitrescu, Elena-Ivona
1
Leschinski, Christian
1
McAleer, Michael
1
Phillips, Peter C. B.
1
Sibbertsen, Philipp
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Truchis, Gilles de
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Wingert, Simon
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ECONIS (ZBW)
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1
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
2
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
3
Discrete fourier transforms of fractional processes with econometric applications
Phillips, Peter C. B.
-
2021
Persistent link: https://www.econbiz.de/10012807741
Saved in:
4
Local Whittle analysis of stationary unbalanced fractional cointegration systems
Dubois, Florent
;
Dumitrescu, Elena-Ivona
;
Truchis, Gilles de
-
2019
-
Preliminary draft
Persistent link: https://www.econbiz.de/10012242004
Saved in:
5
Seasonality robust local whittle estimation
Wingert, Simon
;
Leschinski, Christian
;
Sibbertsen, Philipp
- In:
Applied economics letters
27
(
2020
)
18
,
pp. 1489-1494
Persistent link: https://www.econbiz.de/10012315624
Saved in:
6
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
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