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  • Search: subject:"edgeworth expansion"
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Year of publication
Subject
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Edgeworth expansion 125 Estimation theory 27 Schätztheorie 27 Bootstrap 19 Bootstrap approach 16 Bootstrap-Verfahren 16 Stochastic process 13 Stochastischer Prozess 13 Edgeworth Expansion 8 Option pricing theory 8 Optionspreistheorie 8 maximum likelihood estimator 8 Statistical test 7 Statistischer Test 7 ARCH model 6 ARCH-Modell 6 Asymptotics 6 Confidence interval 6 Induktive Statistik 6 Statistical inference 6 bootstrap 6 k-step bootstrap 6 ARFIMA 5 Bias 5 Cumulants 5 GARCH model 5 Lagrange multiplier test 5 Maximum likelihood estimation 5 Maximum-Likelihood-Schätzung 5 Nichtparametrisches Verfahren 5 Nonparametric statistics 5 Statistical distribution 5 Statistische Verteilung 5 Volatility 5 Volatilität 5 edgeworth expansion 5 t statistic 5 Asymptotic expansion 4 Autocorrelation 4 Autokorrelation 4
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Online availability
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Undetermined 69 Free 59
Type of publication
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Article 86 Book / Working Paper 63 Other 1
Type of publication (narrower categories)
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Article in journal 29 Aufsatz in Zeitschrift 29 Working Paper 12 Arbeitspapier 8 Graue Literatur 7 Non-commercial literature 7 Hochschulschrift 1
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Language
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Undetermined 85 English 65
Author
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Rossi, Francesca 10 Robinson, Peter M. 8 Andrews, Donald W.K. 7 Lieberman, Offer 6 Arvanitis, Stelios 5 Gao, Jiti 5 Demos, Antonis 4 Djogbenou, Antoine A. 4 Dēmos, Antōnēs A. 4 MacKinnon, James G. 4 Ogasawara, Haruhiko 4 Phillips, Peter C.B. 4 Robinson, Peter M 4 Giraitis, Liudas 3 Grose, Simone D. 3 Gupta, Arjun 3 Jing, Bing-Yi 3 Kasahara, Hiroyuki 3 Kyriakopoulou, Dimitra 3 Lee, Seojeong 3 Maesono, Yoshihiko 3 Martin, Gael M. 3 Mukerjee, Rahul 3 Nielsen, Morten Ørregaard 3 Shimotsu, Katsumi 3 Yang, Zhenlin 3 Akahira, Masafumi 2 Arevalillo, Jorge 2 Ataullah, Ali 2 Cassart, Delphine 2 Chang, In 2 Chen, Jia 2 Cribari-Neto, F. 2 Cribari-Neto, Francisco 2 Doko Tchatoka, Firmin 2 Gijbels, Irene 2 Hallin, Marc 2 Harrar, Solomon 2 Janas, Daniel 2 Kaplan, David M. 2
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Institution
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Cowles Foundation for Research in Economics, Yale University 14 London School of Economics (LSE) 6 Department of International and European Economic Studies, Athens University of Economics and Business (AUEB) 4 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 EconWPA 3 Department of Econometrics and Business Statistics, Monash Business School 2 Berkeley Electronic Press 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics and Related Studies, University of York 1 Department of Economics, University of California-San Diego (UCSD) 1 Economics Department, Queen's University 1 Economics Department, University of Missouri 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 HAL 1 School of Economics and Management, University of Aarhus 1 School of Economics, Singapore Management University 1 School of Economics, UNSW Business School 1 School of Economics, University of Adelaide 1
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Published in...
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Annals of the Institute of Statistical Mathematics 22 Cowles Foundation Discussion Papers 14 Journal of econometrics 10 LSE Research Online Documents on Economics 6 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 5 DEOS Working Papers 4 Journal of Econometrics 4 Journal of Multivariate Analysis 4 MPRA Paper 4 STICERD - Econometrics Paper Series 4 The econometrics journal 4 Econometric Reviews 3 Econometrics 3 Statistical Papers / Springer 3 Journal of time series econometrics 2 Monash Econometrics and Business Statistics Working Papers 2 Psychometrika 2 Queen's Economics Department Working Paper 2 Working paper / Department of Econometrics and Business Statistics, Monash University 2 Annals of financial economics 1 Asia-Pacific Financial Markets 1 Asia-Pacific financial markets 1 Australian Journal of Management 1 CORE discussion papers : DP 1 CREATES Research Papers 1 CREATES research paper 1 Computational Statistics & Data Analysis 1 Discussion Papers / Department of Economics and Related Studies, University of York 1 Discussion Papers / School of Economics, UNSW Business School 1 ECARES working paper 1 Econometrics Journal 1 Economic Modelling 1 Economic Theory 1 Economic modelling 1 Economic research 1 Economics Letters 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 International journal of financial engineering 1 International journal of theoretical and applied finance 1 Journal of contemporary management : JMC 1
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Source
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RePEc 105 ECONIS (ZBW) 39 EconStor 4 BASE 2
Showing 101 - 110 of 150
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Two-term Edgeworth expansions of the distributions of fit indexes under fixed alternatives in covariance structure models
Ogasawara, Haruhiko - In: 商学討究 (Shogaku Tokyu) 59 (2009) 4, pp. 41-48
results are derived by the two-term Edgeworth expansion under fixed alternatives for possibly nonnormally distributed data. A …
Persistent link: https://www.econbiz.de/10010963916
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Confidence intervals based on empirical statistics: existence of a probability matching prior and connection with frequentist Bartlett adjustability
Mukerjee, Rahul; Chan, Ling-Yau - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 2, pp. 271-282
Persistent link: https://www.econbiz.de/10005004333
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Asymptotic expansions in mean and covariance structure analysis
Ogasawara, Haruhiko - In: Journal of Multivariate Analysis 100 (2009) 5, pp. 902-912
Asymptotic expansions of the distributions of parameter estimators in mean and covariance structures are derived. The parameters may be common to, or specific in means and covariances of observable variables. The means are possibly structured by the common/specific parameters. First, the...
Persistent link: https://www.econbiz.de/10005152802
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Asymptotic expansions in the singular value decomposition for cross covariance and correlation under nonnormality
Ogasawara, Haruhiko - In: Annals of the Institute of Statistical Mathematics 61 (2009) 4, pp. 995-1017
Persistent link: https://www.econbiz.de/10008467097
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Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2000
It is well known that a one-step scoring estimator that starts from any N^{1/2}-consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper extends this result to k-step estimators and test statistics for k = 1, higher-order asymptotic...
Persistent link: https://www.econbiz.de/10004990703
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Edgeworth expansions for semiparametric averaged derivatives
Nishiyama, Y; Robinson, Peter M. - London School of Economics (LSE) - 1999
A valid Edgeworth expansion is established for the limit distribution of density-weighted semiparametric averaged …-Essen bound in Robinson (1995). A valid empirical Edgeworth expansion is also established. We also provide theoretical and …
Persistent link: https://www.econbiz.de/10011071403
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Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear...
Persistent link: https://www.econbiz.de/10005593243
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Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear...
Persistent link: https://www.econbiz.de/10005593591
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Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.)
Nishiyama, Y; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 1999
A valid Edgeworth expansion is established for the limit distribution of density-weighted semiparametric averaged …-Essen bound in Robinson (1995). A valid empirical Edgeworth expansion is also established. We also provide theoretical and …
Persistent link: https://www.econbiz.de/10005310371
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Refined Inference on Long Memory in Realized Volatility
Lieberman, Offer; Phillips, Peter - In: Econometric Reviews 27 (2008) 1-3, pp. 254-267
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from...
Persistent link: https://www.econbiz.de/10005511887
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