Adaptive inference in heteroscedastic fractional time series models
Giuseppe Cavaliere, Morten Ørregaard Nielsen, and A.M. Robert Taylor
| Year of publication: |
2022
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| Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 1, p. 50-65
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| Subject: | Adaptive estimation | Conditional sum-of-squares | Fractional integration | Heteroscedasticity | Quasi-maximum likelihood estimation | Wild bootstrap | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Bootstrap-Verfahren | Bootstrap approach | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1773275 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012804084