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Projection Estimators for Autoregressive Panel Data Models
Bond, Stephen R.; Windmeijer, Frank - 2003
In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the …
Persistent link: https://www.econbiz.de/10014123931
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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126
Persistent link: https://www.econbiz.de/10010224748
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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Uncovering hidden insights with long-memory process detection : an in-depth overview
Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15
using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …
Persistent link: https://www.econbiz.de/10014335857
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Periodic gamma autoregressive model : an application to the Brazilian hydroelectric system
Braga, Diogo; Calmon, Wilson - In: RAIRO / Operations research 51 (2017) 2, pp. 469-483
Persistent link: https://www.econbiz.de/10011776764
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Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …
Persistent link: https://www.econbiz.de/10003808637
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Decision theory applied to linear panel data model
Chamberlain, Gary; Moreira, Marcelo J. - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10003866981
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Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
Phillips, Peter C. B.; Sul, Donggyu - In: Journal of econometrics 137 (2007) 1, pp. 162-188
Persistent link: https://www.econbiz.de/10003425526
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Indirect inference for dynamic panel models
Gouriéroux, Christian (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003468437