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subject:"Japan"
subject:"Share price"
~isPartOf:"CREATES research paper"
~subject:"ARCH-Modell"
~subject:"Statistical inference"
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Japan
Share price
ARCH-Modell
Statistical inference
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
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Teräsvirta, Timo
6
Nielsen, Morten Ørregaard
5
Silvennoinen, Annastiina
4
MacKinnon, James G.
3
Pedersen, Rasmus Søndergaard
2
Rahbek, Anders
2
Amado, Cristina
1
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Bennedsen, Mikkel
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Bugni, Federico A.
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1
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1
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1
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1
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1
Demetrescu, Matei
1
Demetrescum, Matei
1
Djogbenou, Antoine A.
1
Grassi, Stefano
1
Hall, Anthony D.
1
Hanck, Christoph
1
Jakobsen, Johan Stax
1
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Kang, Jian
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CREATES research paper
Journal of econometrics
161
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
CEMMAP working papers / Centre for Microdata Methods and Practice
59
Econometric theory
58
Economics letters
41
The econometrics journal
33
Cowles Foundation Discussion Paper
31
Discussion paper / Tinbergen Institute
31
Econometric reviews
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
23
Journal of empirical finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of the American Statistical Association : JASA
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Cowles Foundation discussion paper
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Finance research letters
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Quantitative economics : QE ; journal of the Econometric Society
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Econometrics : open access journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Economic modelling
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Applied economics letters
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International journal of economics and financial issues : IJEFI
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International journal of forecasting
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Cambridge working papers in economics
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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CESifo working papers
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Journal of risk
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Journal of applied econometrics
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189456
Saved in:
3
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
4
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
5
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
6
Wild Bootstrap and Asymptotic Inference with Multiway Clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
-
2020
Persistent link: https://www.econbiz.de/10012317779
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
9
Asymptotic theory and wild bootstrap inference with clustered errors
Djogbenou, Antoine A.
;
MacKinnon, James G.
;
Nielsen, …
-
2019
Persistent link: https://www.econbiz.de/10012063541
Saved in:
10
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
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