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subject:"Schätzung"
subject:"Stochastic process"
~person:"Li, Dong"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Schätzung
Stochastic process
ARCH model
Estimation theory
15
Schätztheorie
15
Autocorrelation
5
Autokorrelation
5
Time series analysis
5
Zeitreihenanalyse
5
ARCH-Modell
4
DAR model
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Compound Poisson process
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Portmanteau test
3
Stochastischer Prozess
3
Heteroscedasticity
2
Heteroskedastizität
2
Kleinste-Quadrate-Methode
2
Least squares method
2
Nonstationarity
2
Quasi-maximum likelihood estimation
2
Score test
2
Volatility
2
Volatilität
2
Adaptive inference
1
Augmented DAR model
1
Börsenkurs
1
Conditional heteroscedasticity
1
Consistent test
1
Copula time series model
1
DARWIN model
1
Degeneracy of a spatial process
1
Ergodicity
1
GARCH model
1
GLAD estimation
1
Generalized quasi-maximum likelihood estimator
1
Heavy-tailedness
1
Kernelized Stein discrepancy
1
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Aufsatz in Zeitschrift
Article in journal
7
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
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English
7
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Li, Dong
Francq, Christian
18
Linton, Oliver
17
Zakoïan, Jean-Michel
15
Gao, Jiti
14
Kumbhakar, Subal
14
Su, Liangjun
14
Kumar, Dilip
13
Tauchen, George Eugene
13
Phillips, Peter C. B.
12
Tsionas, Efthymios G.
12
Todorov, Viktor
11
Maheswaran, S.
10
Li, Jia
9
Rahbek, Anders
9
Baltagi, Badi H.
8
Hafner, Christian M.
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Lee, Lung-fei
8
Li, Qi
8
Ling, Shiqing
8
McAleer, Michael
8
Ramírez, Miguel D.
8
Teräsvirta, Timo
8
Bauwens, Luc
7
Cai, Zongwu
7
Escanciano, Juan Carlos
7
Ghysels, Eric
7
Jochmans, Koen
7
Kapetanios, George
7
Kim, Donggyu
7
Kristensen, Dennis
7
Li, Guodong
7
Lütkepohl, Helmut
7
Park, Joon Y.
7
Parmeter, Christopher F.
7
White, Halbert
7
Zhu, Ke
7
Ardia, David
6
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Journal of econometrics
5
Econometric reviews
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
7
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1
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
2
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
3
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
4
Strict stationarity testing and GLAD estimation of double autoregressive models
Shaojun, Guo
;
Li, Dong
;
Li, Muyi
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 319-337
Persistent link: https://www.econbiz.de/10012303800
Saved in:
5
The ZD-GARCH model : a new way to study heteroscedasticity
Li, Dong
;
Zhang, Xingfa
;
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011974547
Saved in:
6
On a threshold double autoregressive model
Li, Dong
;
Ling, Shiqing
;
Zhang, Rongmao
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 68-80
Persistent link: https://www.econbiz.de/10011691211
Saved in:
7
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
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