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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
subject:"Schätzung"
~isPartOf:"CREATES research paper"
~person:"Cavaliere, Giuseppe"
~subject:"Time series analysis"
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Schätzung
Time series analysis
Estimation theory
4
Heteroscedasticity
4
Heteroskedastizität
4
Schätztheorie
4
Zeitreihenanalyse
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Estimation
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
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ARCH model
1
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ARMA-Modell
1
Adaptive estimation
1
Commodity derivative
1
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1
Conditional sum-of-squares
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Fractional integration
1
Quasi-maximum likelihood estimation
1
Rohstoffderivat
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Rohstoffpreis
1
Volatility
1
Volatilität
1
Wild bootstrap
1
adaptive estimation
1
conditional sum-of-squares
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fractional integration
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heteroskedasticity
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quasi-maximum likelihood estimation
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wild bootstrap
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Cavaliere, Giuseppe
Nielsen, Morten Ørregaard
13
Johansen, Søren
8
Teräsvirta, Timo
7
Su, Liangjun
6
Taylor, Robert
6
Gao, Jiti
5
Kristensen, Dennis
5
Podolskij, Mark
4
Christensen, Kim
3
Ergemen, Yunus Emre
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Franses, Philip Hans
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Hsu, Yu-Chin
3
Li, Qi
3
Lieli, Robert P.
3
Liesenfeld, Roman
3
Nielsen, Bent
3
Proietti, Tommaso
3
Santucci de Magistris, Paolo
3
Tjostheim, Dag
3
Ullah, Aman
3
Andersen, Torben
2
Bauwens, Luc
2
Bera, Anil K.
2
Bollerslev, Tim
2
Caner, Mehmet
2
Casas, Isabel
2
Christensen, Bent Jesper
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Demetrescu, Matei
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Einmahl, John H. J.
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Escanciano, Juan Carlos
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Ferreira, Eva
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Fiebig, Denzil G.
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Ghysels, Eric
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González-Rivera, Gloria
2
Grassi, Stefano
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Haldrup, Niels
2
Hall, Alastair R.
2
Hautsch, Nikolaus
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
CREATES research paper
Discussion papers / Department of Economics, University of Copenhagen
3
Econometric theory
3
CREATES Research Paper
2
Queen's Economics Department working paper
2
Econometric Theory
1
Econometric reviews
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Journal of econometrics
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ECONIS (ZBW)
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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
2
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
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
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
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