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subject:"Time series analysis"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~subject:"ARCH model"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Time series analysis
ARCH model
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Estimation theory
90
Schätztheorie
90
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53
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22
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11
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Stock, James H.
5
Nelson, Daniel B.
4
Watson, Mark W.
3
Diebold, Francis X.
2
Elliott, Graham
2
Foster, Dean P.
2
West, Kenneth D.
2
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1
Aït-Sahalia, Yacine
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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1
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1
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1
Kim, Chang-jin
1
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1
Miron, Jeffrey A.
1
Mykland, Per A.
1
Nelson, Charles R.
1
Newey, Whitney K.
1
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1
Rothenberg, Thomas J.
1
Santa-Clara, Pedro
1
Segal, Lewis M.
1
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1
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Technical working paper / National Bureau of Economic Research
Journal of econometrics
386
Econometric theory
199
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
173
Economics letters
162
Discussion paper / Tinbergen Institute
109
Econometric reviews
103
International journal of forecasting
71
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69
Journal of forecasting
66
Working paper / Department of Econometrics and Business Statistics, Monash University
66
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
58
Applied economics letters
57
Econometrics : open access journal
52
The econometrics journal
48
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
46
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43
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42
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42
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39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Série des documents de travail / Centre de Recherche en Économie et Statistique
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
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35
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34
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25
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24
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1
Edgeworth expansion for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
-
2005
Persistent link: https://www.econbiz.de/10003217402
Saved in:
2
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
-
2001
Persistent link: https://www.econbiz.de/10001606888
Saved in:
3
Asymptotically median unbiased estimation of coefficient variance in a time varying parameter model
Stock, James H.
;
Watson, Mark W.
-
1996
Persistent link: https://www.econbiz.de/10000945159
Saved in:
4
A comparison of alternative instrumental variables estimators of a dynamic linear model
West, Kenneth D.
;
Wilcox, David W.
-
1995
Persistent link: https://www.econbiz.de/10000934955
Saved in:
5
Modeling volatility dynamics
Diebold, Francis X.
;
García López, José A.
-
1995
Persistent link: https://www.econbiz.de/10000920972
Saved in:
6
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
;
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000934888
Saved in:
7
Asymptotic filtering theory for multivariate ARCH models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000920888
Saved in:
8
Estimating deterministic trends in the presence of serially correlated errors
Canjels, Eugene
-
1994
Persistent link: https://www.econbiz.de/10000920895
Saved in:
9
Optimal prediction under asymmetric loss
Christoffersen, Peter F.
-
1994
Persistent link: https://www.econbiz.de/10000920915
Saved in:
10
Asymptotically optimal smoothing with arch models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000920975
Saved in:
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