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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Francq, Christian"
~person:"Inoue, Atsushi"
~person:"Mykland, Per A."
~subject:"Capital income"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
Capital income
Estimation theory
30
Schätztheorie
30
Volatility
12
Volatilität
12
ARCH model
11
ARCH-Modell
11
VAR model
9
VAR-Modell
9
Estimation
8
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8
Time series analysis
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Bootstrap-Verfahren
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Börsenkurs
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Asynchronous times
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Microstructure
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Francq, Christian
Inoue, Atsushi
Mykland, Per A.
Kumar, Dilip
6
Nielsen, Morten Ørregaard
6
Taylor, Robert
6
Demetrescu, Matei
5
Hounyo, Ulrich
5
MacKinnon, James G.
5
Webb, Matthew
5
Andersen, Torben
4
Cavaliere, Giuseppe
4
Kilian, Lutz
4
Li, Jia
4
Luger, Richard
4
Maheswaran, S.
4
Rodrigues, Paulo M. M.
4
Song, Xiaojun
4
Sucarrat, Genaro
4
Todorov, Viktor
4
Yang, Zhenlin
4
Corradi, Valentina
3
Dufour, Jean-Marie
3
Georgiev, Iliyan
3
Honoré, Bo E.
3
Hu, Luojia
3
Kato, Kengo
3
Li, Yingying
3
Linton, Oliver
3
Lütkepohl, Helmut
3
Omay, Tolga
3
Santos, Andres
3
Su, Liangjun
3
Tauchen, George Eugene
3
Tu, Yundong
3
Varneskov, Rasmus Tangsgaard
3
Zakoïan, Jean-Michel
3
Zhang, Lan
3
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2
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Journal of econometrics
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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4
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
5
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
6
The uniform validity of impulse response inference in autoregressions
Inoue, Atsushi
;
Kilian, Lutz
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 450-472
Persistent link: https://www.econbiz.de/10012439494
Saved in:
7
Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.
;
Inoue, Atsushi
;
Kilian, Lutz
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 144-155
Persistent link: https://www.econbiz.de/10011743789
Saved in:
8
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
9
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:
10
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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