Adaptive inference in heteroskedastic fractional time series models
Giuseppe Cavaliere, Morten Ørregaard Nielsen and Robert Taylor
| Year of publication: |
[2020]
|
|---|---|
| Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
| Subject: | adaptive estimation | conditional sum-of-squares | fractional integration | heteroskedasticity | quasi-maximum likelihood estimation | wild bootstrap | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Bootstrap-Verfahren | Bootstrap approach | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | ARCH-Modell | ARCH model |
freely available
| Extent: | 1 Online-Ressource (circa 84 Seiten) |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2020, 08 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012317803