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subject:"Statistical theory"
subject:"Statistische Methodenlehre"
~isPartOf:"CREATES research paper"
~subject:"ARCH-Modell"
~subject:"Autocorrelation"
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Statistical theory
Statistische Methodenlehre
ARCH-Modell
Autocorrelation
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation
18
Schätzung
18
Theorie
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Theory
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Stochastic process
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Stochastischer Prozess
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Maximum likelihood estimation
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VAR model
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VAR-Modell
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Autokorrelation
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Modellierung
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Teräsvirta, Timo
8
Silvennoinen, Annastiina
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Kang, Jian
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Nielsen, Morten Ørregaard
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Pedersen, Rasmus Søndergaard
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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
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CREATES research paper
Journal of econometrics
155
Econometric theory
88
Economics letters
80
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
72
Econometric reviews
68
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
53
Discussion paper / Tinbergen Institute
39
The econometrics journal
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Journal of empirical finance
21
Série des documents de travail / Centre de Recherche en Économie et Statistique
20
Cowles Foundation discussion paper
18
Econometrics : open access journal
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International journal of forecasting
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CORE discussion paper : DP
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Oxford bulletin of economics and statistics
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Discussion papers of interdisciplinary research project 373
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Europäische Hochschulschriften / 5
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Working papers in economics and econometrics
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ECONIS (ZBW)
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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
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
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:
4
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:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
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:
7
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
8
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
9
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
10
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
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