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~subject:"Schätztheorie"
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REGIME-SWITCHING AUTOREGRESSIV...
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Schätztheorie
Bootstrap approach
54
Bootstrap-Verfahren
54
Time series analysis
54
Zeitreihenanalyse
54
Theorie
39
Theory
39
Estimation theory
37
Cointegration
26
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26
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26
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25
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25
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24
wild bootstrap
18
Co-integration
17
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16
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16
Stochastic process
16
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16
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14
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Schätzung
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12
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12
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10
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10
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8
ARCH-Modell
8
Wild bootstrap
8
fractional integration
8
(un)conditional heteroskedasticity
7
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
non-stationary volatility
7
conditional sum-of-squares
6
quasi-maximum likelihood estimation
6
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Cavaliere, Giuseppe
32
Taylor, Robert
17
Rahbek, Anders
13
Georgiev, Iliyan
9
Nielsen, Morten Ørregaard
7
Bohn Nielsen, Heino
4
Trenkler, Carsten
4
Harvey, David I.
3
Pedersen, Rasmus Søndergaard
3
Demetrescu, Matei
2
Leybourne, Stephen James
2
Nielsen, Heino Bohn
2
Perera, Indeewara
2
Rodrigues, Paulo M. M.
2
Taylor, A. M. Robert
2
Agosto, Arianna
1
Boswijk, Herman Peter
1
De Angelis, Luca
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Econometric theory
7
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6
Discussion papers / Department of Economics, University of Copenhagen
4
CREATES research paper
3
CREATES Research Paper
2
Econometric reviews
2
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Econometric Theory
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of empirical finance
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ECONIS (ZBW)
37
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Robust inference in autoregressions with multiple outliers
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Econometric theory
25
(
2009
)
6
,
pp. 1625-1661
Persistent link: https://www.econbiz.de/10003904429
Saved in:
2
Regime-switching autoregressive coefficients and the asymptotics for unit root tests
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Econometric theory
24
(
2008
)
4
,
pp. 1137-1148
Persistent link: https://www.econbiz.de/10003736886
Saved in:
3
Exploiting infinite variance through dummy variables in nonstationary autoregressions
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Econometric theory
29
(
2013
)
6
,
pp. 1162-1195
Persistent link: https://www.econbiz.de/10010343729
Saved in:
4
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
Saved in:
5
Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers
Georgiev, Iliyan
- In:
Econometric theory
24
(
2008
)
3
,
pp. 587-615
Persistent link: https://www.econbiz.de/10003894270
Saved in:
6
Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
Georgiev, Iliyan
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 37-50
Persistent link: https://www.econbiz.de/10008826877
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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:
10
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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