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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~person:"Hafner, Christian M."
~person:"Webb, Matthew"
~subject:"Bootstrap-Verfahren"
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Search: subject_exact:"Estimation theory"
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Volatility
Bootstrap-Verfahren
Estimation theory
45
Schätztheorie
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Time series analysis
12
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12
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Francq, Christian
Hafner, Christian M.
Webb, Matthew
Kumar, Dilip
16
Maheswaran, S.
15
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Cavaliere, Giuseppe
9
Taylor, Robert
9
MacKinnon, James G.
8
Nielsen, Morten Ørregaard
8
Teräsvirta, Timo
8
Andersen, Torben
7
Gonçalves, Sílvia
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Andrews, Donald W. K.
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
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5
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5
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5
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Jing, Bingyi
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Kilian, Lutz
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Koopman, Siem Jan
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Li, Wai Keung
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5
Lütkepohl, Helmut
5
Patton, Andrew J.
5
Simar, Léopold
5
Taylor, Stephen
5
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Journal of econometrics
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2
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ECONIS (ZBW)
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1
Fast and reliable jackknife and bootstrap methods for cluster-robust inference
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
- In:
Journal of applied econometrics
38
(
2023
)
5
,
pp. 671-694
Persistent link: https://www.econbiz.de/10014338128
Saved in:
2
Testing for the appropriate level of clustering in linear regression models
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2027-2056
Persistent link: https://www.econbiz.de/10014471443
Saved in:
3
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 272-299
Persistent link: https://www.econbiz.de/10014339912
Saved in:
4
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:
5
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:
6
Wild bootstrap and asymptotic inference with multiway clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10012499095
Saved in:
7
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
8
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
9
A simple, graphical approach to comparing multiple treatments : editor's choice
Thompson, Brennan S.
;
Webb, Matthew
- In:
The econometrics journal
22
(
2019
)
2
,
pp. 188-205
Persistent link: https://www.econbiz.de/10012166727
Saved in:
10
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
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