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subject:"Simulation"
isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~subject:"ARCH model"
~isPartOf:"CREATES research paper"
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Simulation
ARCH model
Estimation theory
453
Schätztheorie
453
Theorie
258
Theory
258
Time series analysis
98
Zeitreihenanalyse
98
Nichtparametrisches Verfahren
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Teräsvirta, Timo
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
CREATES research paper
Journal of econometrics
87
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Econometric theory
40
Economics letters
40
Econometric reviews
36
Discussion paper / Tinbergen Institute
29
European journal of operational research : EJOR
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Computational economics
19
The econometrics journal
18
Economic modelling
17
Discussion paper / Center for Economic Research, Tilburg University
16
International journal of forecasting
16
Operations research
16
Finance research letters
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Applied economics
13
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Discussion paper series / IZA
13
Journal of empirical finance
13
Journal of forecasting
13
Journal of risk
12
Journal of time series econometrics
12
International journal of economics and financial issues : IJEFI
11
Journal of banking & finance
11
Journal of economic dynamics & control
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
CORE discussion papers : DP
10
Econometrics : open access journal
10
Journal of risk and financial management : JRFM
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Applied economics letters
9
The North American journal of economics and finance : a journal of financial economics studies
9
Umeå economic studies
9
Working paper series
9
INFORMS journal on computing : JOC
8
Journal of applied econometrics
8
Journal of financial econometrics
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ECONIS (ZBW)
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1
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
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
Saved in:
8
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
Saved in:
9
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
10
Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2012
Persistent link: https://www.econbiz.de/10009667363
Saved in:
11
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
12
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
Saved in:
13
On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders
;
Lange, Theis
-
2009
Persistent link: https://www.econbiz.de/10003849498
Saved in:
14
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
15
Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometrica : journal of the Econometric Society, an …
72
(
2004
)
2
,
pp. 641-646
Persistent link: https://www.econbiz.de/10001978054
Saved in:
16
The method of simulated scores for the estimation of LDV models
Hajivassiliou, Vassilis Argyrou
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
4
,
pp. 863-896
Persistent link: https://www.econbiz.de/10001246052
Saved in:
17
Bootstrap critical values for tests based on generalized-method-of-moments estimators
Hall, Peter
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
4
,
pp. 891-916
Persistent link: https://www.econbiz.de/10001203908
Saved in:
18
Simulated moments estimation of Markov models of asset prices
Duffie, Darrell
- In:
Econometrica : journal of the Econometric Society, an …
61
(
1993
)
4
,
pp. 929-952
Persistent link: https://www.econbiz.de/10001147160
Saved in:
19
A new form of the information matrix test
Davidson, Russell
- In:
Econometrica : journal of the Econometric Society, an …
60
(
1992
)
1
,
pp. 145-157
Persistent link: https://www.econbiz.de/10001121805
Saved in:
20
Trimmed lad and least squares estimation of truncated and censored regression models with fixed effects
Honoré, Bo E.
- In:
Econometrica : journal of the Econometric Society, an …
60
(
1992
)
3
,
pp. 533-565
Persistent link: https://www.econbiz.de/10001125723
Saved in:
21
Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
2
,
pp. 371-396
Persistent link: https://www.econbiz.de/10001101891
Saved in:
22
Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B.
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
2
,
pp. 347-370
Persistent link: https://www.econbiz.de/10001101893
Saved in:
23
Automatic frequency domain inference on semiparametric and nonparametric models
Robinson, Peter M.
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
5
,
pp. 1329-1363
Persistent link: https://www.econbiz.de/10001113283
Saved in:
24
Testing for a global maximum in an econometric context
Veall, Michael R.
- In:
Econometrica : journal of the Econometric Society, an …
58
(
1990
)
6
,
pp. 1459-1465
Persistent link: https://www.econbiz.de/10001097573
Saved in:
25
Simulation and the asymptotics of optimization estimators
Pakes, Ariel
- In:
Econometrica : journal of the Econometric Society, an …
57
(
1989
)
5
,
pp. 1027-1057
Persistent link: https://www.econbiz.de/10001076170
Saved in:
26
Alternative estimators of FIML covariance matrix : a Monte Carlo study
Calzolari, Giorgio
- In:
Econometrica : journal of the Econometric Society, an …
56
(
1988
)
3
,
pp. 701-714
Persistent link: https://www.econbiz.de/10001047009
Saved in:
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