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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Sentana, Enrique"
~subject:"Capital income"
~subject:"Correlation"
~subject:"Generalized extremum tests"
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Search: subject_exact:"Estimation theory"
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Volatilität
Capital income
Correlation
Generalized extremum tests
Estimation theory
79
Schätztheorie
79
Statistical test
23
Statistischer Test
23
Time series analysis
19
Zeitreihenanalyse
19
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18
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18
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14
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13
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11
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11
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27
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Corsi, Fulvio
Sentana, Enrique
Linton, Oliver
30
Pesaran, M. Hashem
26
Diebold, Francis X.
24
Fan, Jianqing
22
Hafner, Christian M.
21
Koopman, Siem Jan
21
Brandt, Michael W.
20
Phillips, Peter C. B.
19
Todorov, Viktor
19
Kapetanios, George
18
Li, Yingying
18
Li, Jia
17
Kumar, Dilip
16
Maheswaran, S.
16
Teräsvirta, Timo
16
Croux, Christophe
15
Ledoit, Olivier
15
Li, Degui
15
Tauchen, George Eugene
15
Wolf, Michael
15
Gao, Jiti
13
Härdle, Wolfgang
13
Kim, Donggyu
12
Xiu, Dacheng
12
Andersen, Torben
11
Bibinger, Markus
11
Ghysels, Eric
11
Hautsch, Nikolaus
11
Mancino, Maria Elvira
11
Bauwens, Luc
10
Boudt, Kris
10
Hurvich, Clifford M.
10
Mykland, Per A.
10
Silvennoinen, Annastiina
10
Swanson, Norman R.
10
Zheng, Xinghua
10
Amengual, Dante
9
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6
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2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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1
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Essays in honor of M. Hashem Pesaran : panel modeling, micro applications, and econometric methodology
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ECONIS (ZBW)
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1
Highly irregular serial correlation tests
Amengual, Dante
;
Bei, Xinyue
;
Sentana, Enrique
-
2023
Persistent link: https://www.econbiz.de/10014383929
Saved in:
2
Score-type tests for normal mixtures
Amengual, Dante
;
Bei, Xinyue
;
Carrasco, Marine
; …
-
2023
Persistent link: https://www.econbiz.de/10013499445
Saved in:
3
Score-type tests for normal mixtures
Amengual, Dante
;
Bei, Xinyue
;
Carrasco, Marine
; …
-
2022
Persistent link: https://www.econbiz.de/10013540684
Saved in:
4
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data : An Application to High-Frequency Covariance Dynamics
Buccheri, Giuseppe
-
2020
The analysis of the intraday dynamics of covariances among high-frequency returns is challenging due to asynchronous trading and market microstructure noise. Both effects lead to significant data reduction and may severely affect the estimation of the covariances if traditional methods for...
Persistent link: https://www.econbiz.de/10012854692
Saved in:
5
Gaussian rank correlation and regression
Amengual, Dante
;
Sentana, Enrique
;
Tian, Zhanyuan
-
2020
Persistent link: https://www.econbiz.de/10012308723
Saved in:
6
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
Fiorentini, Gabriele
;
Sentana, Enrique
-
2020
Persistent link: https://www.econbiz.de/10012310522
Saved in:
7
Hypothesis tests with a repeatedly singular information matrix
Amengual, Dante
;
Bei, Xinyue
;
Sentana, Enrique
-
2020
Persistent link: https://www.econbiz.de/10012208314
Saved in:
8
Gaussian rank correlation and regression
Amengual, Dante
;
Sentana, Enrique
;
Tian, Zhanyuan
- In:
Essays in honor of M. Hashem Pesaran : panel modeling, …
,
(pp. 269-306)
.
2022
Persistent link: https://www.econbiz.de/10013194599
Saved in:
9
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
10
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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