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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~person:"Jakobsen, Johan Stax"
~person:"Nielsen, Morten Ørregaard"
~subject:"Nichtparametrisches Verfahren"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Nichtparametrisches Verfahren
Estimation theory
16
Schätztheorie
16
Time series analysis
12
Zeitreihenanalyse
12
Bootstrap approach
5
Bootstrap-Verfahren
5
Estimation
4
Schätzung
4
ARCH model
3
ARCH-Modell
3
Cluster analysis
3
Clusteranalyse
3
Cointegration
3
Heteroscedasticity
3
Heteroskedastizität
3
Induktive Statistik
3
Kointegration
3
Regional cluster
3
Regionales Cluster
3
Statistical inference
3
cluster-robust variance estimator
3
nonstationarity
3
wild cluster bootstrap
3
Asymptotic normality
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Stochastic process
2
Volatilität
2
clustered data
2
conditional heteroskedasticity
2
consistency
2
deterministic trend
2
fractional process
2
generalized polynomial trend
2
noninvertibility
2
robust inference
2
ARMA model
1
ARMA-Modell
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English
5
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Jakobsen, Johan Stax
Nielsen, Morten Ørregaard
Kristensen, Dennis
6
Cattaneo, Matias D.
4
Jansson, Michael
4
Teräsvirta, Timo
4
Crump, Richard K.
3
Kanaya, Shin
3
Silvennoinen, Annastiina
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Taylor, Robert
2
Amado, Cristina
1
Bu, Ruijun
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Creel, Michael D.
1
Demetrescum, Matei
1
Dobrev, Dobrislav
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gao, Jiti
1
Gijbels, Irène
1
Guégan, Dominique
1
Hadri, Kaddour
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Iacone, Fabrizio
1
Kang, Jian
1
Kruse, Robinson
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Li, Degui
1
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CREATES research paper
Queen's Economics Department working paper
2
CAE working paper
1
Econometrics : open access journal
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
3
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
5
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
2014
Persistent link: https://www.econbiz.de/10010413826
Saved in:
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