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isPartOf:"Journal of forecasting"
subject:"Estimation theory"
~isPartOf:"CREATES research paper"
~isPartOf:"European journal of operational research : EJOR"
~person:"Podolskij, Mark"
~person:"Rahbek, Anders"
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Estimation theory
Schätztheorie
11
Time series analysis
3
Zeitreihenanalyse
3
ARCH model
2
ARCH-Modell
2
Analysis of variance
2
Cointegration
2
Kointegration
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Maximum likelihood estimation
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1965-2008
1
Heteroscedasticity
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Heteroskedastizität
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Induktive Statistik
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Market microstructure
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Marktmikrostruktur
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Martingal
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English
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Podolskij, Mark
Rahbek, Anders
Nielsen, Morten Ørregaard
15
Tsionas, Efthymios G.
12
Teräsvirta, Timo
11
Johansen, Søren
10
Kristensen, Dennis
8
Kumbhakar, Subal
7
Cattaneo, Matias D.
6
Jansson, Michael
6
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6
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5
Christensen, Kim
5
Hounyo, Ulrich
5
Kuosmanen, Timo
5
Ruggiero, John
5
Varneskov, Rasmus Tangsgaard
5
Andersen, Torben
4
Carrizosa, Emilio
4
Hillebrand, Eric
4
Johnson, Andrew L.
4
Lunde, Asger
4
MacKinnon, James G.
4
Santucci de Magistris, Paolo
4
Silvennoinen, Annastiina
4
Simar, Léopold
4
Taylor, Robert
4
Bennedsen, Mikkel
3
Cavaliere, Giuseppe
3
Crump, Richard K.
3
Heidergott, Bernd
3
Kanaya, Shin
3
Keshvari, Abolfazl
3
Kock, Anders Bredahl
3
Kouassi, Eugène
3
Medeiros, Marcelo C.
3
Nielsen, Bent
3
Olesen, Ole Bent
3
Parra-Alvarez, Juan Carlos
3
Posch, Olaf
3
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Journal of forecasting
CREATES research paper
European journal of operational research : EJOR
Discussion papers / Department of Economics, University of Copenhagen
9
Journal of econometrics
5
CREATES Research Paper
3
Econometric theory
3
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
The econometrics journal
2
Univ. of Copenhagen Dept. of Economics Discussion Paper
2
Econometric reviews
1
Economics letters
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
University of Copenhagen Department of Economics Discussion Papers
1
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
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Testing for heteroscedasticity in jumpy and noisy high-frequency data : a resampling approach
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
-
2016
Persistent link: https://www.econbiz.de/10011541690
Saved in:
2
Edgeworth expansion for the pre-averaging estimator
Podolskij, Mark
;
Veliyev, Bezirgen
;
Yoshida, Nakahiro
-
2015
Persistent link: https://www.econbiz.de/10011409117
Saved in:
3
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
Saved in:
4
Inference from high-frequency data : a subsampling approach
Christensen, Kim
;
Podolskij, Mark
;
Thamrongrat, Nopporn
; …
-
2015
Persistent link: https://www.econbiz.de/10011343488
Saved in:
5
Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2012
Persistent link: https://www.econbiz.de/10009667363
Saved in:
6
Asymptotic theory of range-based multipower variation
Christensen, Kim
;
Podolskij, Mark
-
2011
Persistent link: https://www.econbiz.de/10009385084
Saved in:
7
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Christensen, Kim
;
Podolskij, Mark
;
Vetter, Mathias
-
2011
Persistent link: https://www.econbiz.de/10009413031
Saved in:
8
Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis
;
Rahbek, Anders
-
2010
Persistent link: https://www.econbiz.de/10008663980
Saved in:
9
Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
-
2009
Persistent link: https://www.econbiz.de/10003849570
Saved in:
10
An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu
;
Bohn Nielsen, Heino
;
Rahbek, Anders
-
2009
Persistent link: https://www.econbiz.de/10003863153
Saved in:
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