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Maximum likelihood estimation...
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Time series analysis
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Teräsvirta, Timo
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9
Grassi, Stefano
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Podolskij, Mark
8
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Silvennoinen, Annastiina
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4
Kang, Jian
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Lunde, Asger
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4
Nonejad, Nima
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Voev, Valeri
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Andreasen, Martin Møller
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CREATES research paper
Journal of econometrics
862
International journal of forecasting
588
Economics letters
532
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
457
Discussion paper / Tinbergen Institute
388
Journal of forecasting
359
Applied economics
356
Econometric theory
335
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319
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
259
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251
Applied economics letters
247
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242
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
229
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227
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225
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194
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170
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170
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167
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
159
CESifo working papers
156
Finance research letters
143
Journal of economic dynamics & control
143
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142
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125
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124
Econometrics : open access journal
122
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115
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110
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108
Oxford bulletin of economics and statistics
107
International review of economics & finance : IREF
106
The North American journal of economics and finance : a journal of financial economics studies
103
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96
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
93
Journal of the American Statistical Association : JASA
93
International Journal of Energy Economics and Policy : IJEEP
91
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ECONIS (ZBW)
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1
Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
-
2009
Persistent link: https://www.econbiz.de/10003875669
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2
Efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael
;
Nielsen, Morten Ørregaard
-
2009
Persistent link: https://www.econbiz.de/10003903502
Saved in:
3
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
4
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
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5
Estimating U.S. monetary policy shocks using a factor-augmented vector autoregression : an EM algorithm apporach
Bork, Lasse
-
2009
Persistent link: https://www.econbiz.de/10003849520
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6
An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper
;
Wel, Michael van der
-
2010
Persistent link: https://www.econbiz.de/10003947812
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7
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10009006828
Saved in:
8
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
-
2012
Persistent link: https://www.econbiz.de/10009667381
Saved in:
9
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010339076
Saved in:
10
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
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