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~subject:"Volatility"
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Search: subject:"QMLE"
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Volatility
QMLE
37
Estimation theory
21
Schätztheorie
21
ARCH model
16
ARCH-Modell
16
Time series analysis
12
Zeitreihenanalyse
12
Statistical distribution
6
Statistische Verteilung
6
GMM
5
Heteroscedasticity
5
Heteroskedastizität
5
Volatilität
5
Autocorrelation
4
Autokorrelation
4
Non-Gaussian QMLE
4
Regional economics
4
Regionalökonomik
4
Spatial autoregressive model
4
Theorie
4
Theory
4
Asymmetric innovation
3
Estimation
3
Exchange rates
3
GARCH model
3
Leptokurtic innovation
3
M-estimator
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Panel
3
Panel study
3
Pearsonian QMLE
3
Robust statistics
3
Robustes Verfahren
3
Stochastic process
3
Stochastischer Prozess
3
Stock indexes
3
double robustness
3
inverse-probability weighting (IPW)
3
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6
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5
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English
5
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Li, Wai Keung
2
Mapa, Dennis S.
2
Zhu, Ke
2
Aït-Sahalia, Yacine
1
Cerovecki, Clément
1
Francq, Christian
1
Hörmann, Siegfried
1
Jiang, Feiyu
1
Li, Dong
1
Li, Guodong
1
Li, Muyi
1
Xiu, Dacheng
1
Zakoïan, Jean-Michel
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Journal of econometrics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
MPRA Paper
1
Philippine Review of Economics
1
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ECONIS (ZBW)
5
RePEc
2
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1
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
2
A new Pearson-type
QMLE
for conditionally heteroscedastic models
Zhu, Ke
;
Li, Wai Keung
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
Saved in:
3
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
4
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
5
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
Saved in:
6
A range-based GARCH model for forecasting financial volatility
Mapa, Dennis S.
- In:
Philippine Review of Economics
40
(
2003
)
2
,
pp. 73-90
the Quasi-Maximum Likelihood Estimation (
QMLE
). The results suggest that the GARCHPARK- R model is a good middle ground …
Persistent link: https://www.econbiz.de/10008672384
Saved in:
7
A Range-Based GARCH Model for Forecasting Volatility
Mapa, Dennis S.
-
Volkswirtschaftliche Fakultät, …
-
2003
Quasi-Maximum Likelihood Estimation (
QMLE
). The results suggest that the GARCH-PARK-R model is a good middle ground between …
Persistent link: https://www.econbiz.de/10008562644
Saved in:
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