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~person:"Ergemen, Yunus Emre"
~person:"Kapetanios, George"
~subject:"ARCH model"
~subject:"Estimation theory"
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ARCH model
Estimation theory
Long memory
13
Zeitreihenanalyse
10
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Schätztheorie
6
Estimation
4
Factor models
4
Nichtlineares Verfahren
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long memory
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Ergemen, Yunus Emre
Kapetanios, George
Sibbertsen, Philipp
21
Asai, Manabu
9
Leschinski, Christian
8
McAleer, Michael
7
Ajmi, Ahdi Noomen
6
Martin, Gael M.
6
Poskitt, Donald Stephen
6
Boubaker, Heni
5
Caporale, Guglielmo Maria
5
Feng, Yuanhua
5
Gil-Alaña, Luis A.
5
Gupta, Rangan
5
Han, Young Wook
5
Klein, Tony
5
Lux, Thomas
5
Nasr, Adnen Ben
5
Nguyen, Duc Binh Benno
5
Nielsen, Morten Ørregaard
5
Prokopczuk, Marcel
5
Rodriguez, Gabriel
5
Walther, Thomas
5
Aloui, Chaker
4
Baillie, Richard
4
Beran, Jan
4
Chkili, Walid
4
Christensen, Bent Jesper
4
Iacone, Fabrizio
4
Nadarajah, K.
4
Nguyen, Duc Khuong
4
Peiris, Shelton
4
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3
Busch, Marie
3
Dark, Jonathan
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Hammoudeh, Shawkat
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CREATES research paper
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Econometric reviews
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of empirical finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
Parametric estimation of
long
memory
in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
2
Parametric estimation of
long
memory
in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
System estimation of panel data models under long-range dependence
Ergemen, Yunus Emre
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10012175866
Saved in:
4
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
Saved in:
5
On the estimation of short memory components in
long
memory
time series models
Baillie, Richard
;
Kapetanios, George
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 365-375
Persistent link: https://www.econbiz.de/10011649095
Saved in:
6
Bandwidth selection by cross-validation for forecasting
long
memory
financial time series
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Journal of empirical finance
29
(
2014
),
pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
Saved in:
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