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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Cavaliere, Giuseppe"
~person:"Shin, Yongcheol"
~subject:"ARCH model"
~subject:"Estimation"
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Bootstrap approach
ARCH model
Estimation
Estimation theory
11
Schätztheorie
11
Bootstrap-Verfahren
5
Time series analysis
5
Zeitreihenanalyse
5
ARCH-Modell
4
Schätzung
4
Autocorrelation
3
Autokorrelation
3
Bootstrap
2
Conditional sum-of-squares
2
Correlation
2
Einheitswurzeltest
2
Fractional integration
2
Heteroscedasticity
2
Heteroskedastizität
2
Korrelation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Panel
2
Panel study
2
Quasi-maximum likelihood estimation
2
Unit root test
2
Wild bootstrap
2
ARCH models
1
Adaptive estimation
1
CCEX-IV estimation
1
Cointegration
1
Common correlated estimator
1
Conditional/unconditional heteroskedasticity
1
Corporate defaults
1
Count data
1
Cross-section dependence
1
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Cavaliere, Giuseppe
Shin, Yongcheol
Su, Liangjun
11
Gao, Jiti
10
Kumbhakar, Subal
10
Francq, Christian
9
Li, Jia
9
Kumar, Dilip
8
Linton, Oliver
8
Marcellino, Massimiliano
8
Todorov, Viktor
8
Tsionas, Efthymios G.
8
Tauchen, George Eugene
7
Ardia, David
6
Baltagi, Badi H.
6
Inoue, Atsushi
6
Kapetanios, George
6
Kim, Donggyu
6
Lee, Lung-fei
6
Liu, Zhi
6
Lütkepohl, Helmut
6
Nielsen, Morten Ørregaard
6
Parmeter, Christopher F.
6
Sun, Yiguo
6
Taylor, Robert
6
Wang, Taining
6
Westerlund, Joakim
6
Yang, Zhenlin
6
Cai, Zongwu
5
Hounyo, Ulrich
5
Ling, Shiqing
5
Luger, Richard
5
MacKinnon, James G.
5
Park, Joon Y.
5
Rahbek, Anders
5
Sentana, Enrique
5
Sucarrat, Genaro
5
Wang, Shouyang
5
Wang, Xia
5
Webb, Matthew
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Journal of econometrics
4
Computational economics
1
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
Estimation and inference in heterogeneous spatial panels with a multifactor error structure
Chen, Jia
;
Shin, Yongcheol
;
Zheng, Chaowen
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 55-79
Persistent link: https://www.econbiz.de/10013441830
Saved in:
4
A primer on bootstrap testing of hypotheses in time series models : with an application to double autoregressive models
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Econometric theory
37
(
2021
)
1
,
pp. 1-48
Persistent link: https://www.econbiz.de/10012437042
Saved in:
5
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
6
Testing for unit roots in dynamic panels with smooth breaks and cross-sectionally dependent errors
Omay, Tolga
;
Hasanov, Mübariz
;
Shin, Yongcheol
- In:
Computational economics
52
(
2018
)
1
,
pp. 167-193
Persistent link: https://www.econbiz.de/10012052928
Saved in:
7
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
8
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
9
Quantile cointegration in the autoregressive distributed-lag modeling framework
Cho, Jin Seo
;
Kim, Tae-hwan
;
Shin, Yongcheol
- In:
Journal of econometrics
188
(
2015
)
1
,
pp. 281-300
Persistent link: https://www.econbiz.de/10011500352
Saved in:
10
Optimal test for Markov switching GARCH models
Hu, Liang
;
Shin, Yongcheol
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
12
(
2008
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009513627
Saved in:
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