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EXPLOITING INFINITE VARIANCE T...
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Forecasting model
Bootstrap approach
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Bootstrap-Verfahren
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Time series analysis
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Zeitreihenanalyse
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Theorie
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Theory
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Estimation theory
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wild bootstrap
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Stochastic process
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fractional integration
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(un)conditional heteroskedasticity
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Maximum likelihood estimation
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non-stationary volatility
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conditional sum-of-squares
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quasi-maximum likelihood estimation
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Georgiev, Iliyan
4
Taylor, Robert
4
Demetrescu, Matei
2
Harvey, David I.
2
Leybourne, Stephen James
2
Rodrigues, Paulo M. M.
2
Brownlees, Christian
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Journal of econometrics
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Annals of financial economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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2
Testing for parameter instability in predictive regression models
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
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3
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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4
Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
Saved in:
5
Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Brownlees, Christian
;
Cavaliere, Giuseppe
;
Monti, Alice
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011931111
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