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Estimation of copula-based semiparametric time series models
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335
Persistent link: https://www.econbiz.de/10003277967
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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Saddlepoint approximations for continuous-time Markov processes
Aït-Sahalia, Yacine; Yu, Jialin - In: Journal of econometrics 134 (2006) 2, pp. 507-551
Persistent link: https://www.econbiz.de/10003374338
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Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis; Rahbek, Anders - 2010
Persistent link: https://www.econbiz.de/10008663980
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Kristensen, Dennis - In: Journal of econometrics 156 (2010) 2, pp. 239-259
Persistent link: https://www.econbiz.de/10008648830
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Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, Dennis; Rahbek, Anders - In: Journal of econometrics 158 (2010) 1, pp. 78-94
Persistent link: https://www.econbiz.de/10008826874
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Semi-nonparametric estimation and misspecification testing of diffusion models
Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008651700
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Nonparametric detection and estimation of structural change
Kristensen, Dennis - 2011
Persistent link: https://www.econbiz.de/10008986681
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Estimation of dynamic models with nonparametric simulated maximum likelihood
Kristensen, Dennis; Shin, Yongseok - In: Journal of econometrics 167 (2012) 1, pp. 76-94
Persistent link: https://www.econbiz.de/10009551440