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subject:"Probability theory"
subject:"Time series analysis"
~accessRights:"restricted"
~person:"Nielsen, Morten Ørregaard"
~person:"Peng, Liang"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Probability theory
Time series analysis
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Estimation theory
22
Schätztheorie
22
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10
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8
Bootstrap-Verfahren
8
Induktive Statistik
7
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7
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Nielsen, Morten Ørregaard
Peng, Liang
Francq, Christian
10
Gao, Jiti
10
Phillips, Peter C. B.
10
Zhu, Ke
10
Li, Jia
9
Kumar, Dilip
8
Linton, Oliver
8
Kapetanios, George
7
Koopman, Siem Jan
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Xiao, Zhijie
7
Ardia, David
6
Cavaliere, Giuseppe
6
Demetrescu, Matei
6
Kim, Donggyu
6
Li, Degui
6
Li, Dong
6
Li, Yingying
6
Lucas, André
6
Marcellino, Massimiliano
6
Shang, Han Lin
6
Todorov, Viktor
6
Zakoïan, Jean-Michel
6
Bauwens, Luc
5
Blasques, Francisco
5
Davis, Richard A.
5
Dong, Chaohua
5
Ling, Shiqing
5
Omay, Tolga
5
Poskitt, Donald Stephen
5
Rahbek, Anders
5
Sucarrat, Genaro
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Tauchen, George Eugene
5
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4
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Econometric theory
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Astin bulletin : the journal of the International Actuarial Association
1
Econometric reviews
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Insurance / Mathematics & economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
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ECONIS (ZBW)
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1
Diagnostic tests before modeling longitudinal actuarial data
Li, Yinhuan
;
Fung, Tsz Chai
;
Peng, Liang
;
Qian, Linyi
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 310-325
Persistent link: https://www.econbiz.de/10014466218
Saved in:
2
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Won-Ki
;
Seong, Dakyung
- In:
Econometric theory
39
(
2023
)
3
,
pp. 443-480
Persistent link: https://www.econbiz.de/10014306644
Saved in:
3
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:
4
Test for zero median of errors in an ARMA-GARCH model
Ma, Yaolan
;
Zhou, Mohan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
38
(
2022
)
3
,
pp. 536-561
Persistent link: https://www.econbiz.de/10013269973
Saved in:
5
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao
;
Leng, Xuan
;
Liu, Xiaohui
;
Peng, Liang
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
Saved in:
6
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
36
(
2020
)
4
,
pp. 751-772
Persistent link: https://www.econbiz.de/10012258429
Saved in:
7
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
Saved in:
8
Bias-corrected inference for a modified Lee-Carter mortality model
Liu, Qing
;
Ling, Chen
;
Li, Deyuan
;
Peng, Liang
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
2
,
pp. 433-455
Persistent link: https://www.econbiz.de/10012056606
Saved in:
9
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:
10
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Johansen, Søren
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1095-1139
Persistent link: https://www.econbiz.de/10011661716
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