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Pitfalls in the estimation of continuous time interest rate models : the case of the CIR model

Gouriéroux, Christian; Monfort, Alain - In: Annals of economics and statistics 109/110 (2013), pp. 25-61

Persistent link: https://www.econbiz.de/10009779723

Efficient inference on fractionally integrated panel data models with fixed effects

Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 185 (2015) 2, pp. 435-452

Persistent link: https://www.econbiz.de/10011348967

Bias in the estimation of the mean reversion parameter in continuous time models

Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 114-122

Persistent link: https://www.econbiz.de/10009666687

Econometric estimation with high-dimensional moment equalities

Shi, Zhentao - In: Journal of econometrics 195 (2016) 1, pp. 104-119

Persistent link: https://www.econbiz.de/10011705235

First difference estimation of spatial dynamic panel data models with fixed effects

Jin, Fei; Lee, Lung-fei; Yu, Jihai - In: Economics letters 189 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228071

Bias-corrected estimators for the Vasicek model : an application in risk measure estimation

Guo, Zi-Yi - In: Journal of risk 23 (2020/2021) 2, pp. 71-104

Persistent link: https://www.econbiz.de/10012500264

Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018

Persistent link: https://www.econbiz.de/10011992635

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - In: Journal of time series econometrics 11 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012022815

The identification of outliers in exponential samples

Schultze, Verena; Pawlitschko, Jörg - 1998

In this paper the task of identifying outliers in exponential samples is treated conceptionally in the sense of Davies and Gather (1989, 1993) by means of a so called outlier region. In case of an exponential distribution, an empirical approximation of such a region also called an outlier...

Persistent link: https://www.econbiz.de/10010467718

Estimation of integrated quadratic covariation with endogenous sampling times

Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41

Persistent link: https://www.econbiz.de/10011818337