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~subject:"Monte-Carlo-Simulation"
~person:"Urga, Giovanni"
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Monte-Carlo-Simulation
Monte Carlo simulation
14
Bootstrap approach
6
Bootstrap-Verfahren
6
Panel
5
Panel study
5
Statistical test
5
Statistischer Test
5
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Urga, Giovanni
Koopman, Siem Jan
49
Dijk, Herman K. van
45
Joshi, Mark S.
42
Kapetanios, George
38
Tsionas, Efthymios G.
34
Pesaran, M. Hashem
33
Reed, W. Robert
32
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29
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23
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18
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17
Chib, Siddhartha
17
Frühwirth-Schnatter, Sylvia
17
Hoogerheide, Lennart
17
Kano, Takashi
17
Kleijnen, Jack P. C.
17
Scaillet, Olivier
17
Koop, Gary
16
Martin, Gael M.
16
Ravazzolo, Francesco
16
Stentoft, Lars
16
Dijk, Dick van
15
Kohn, Robert
15
Peters, Gareth
15
Pfaffermayr, Michael
15
Shevchenko, Pavel V.
15
Strachan, Rodney W.
15
Westerlund, Joakim
15
Caporale, Guglielmo Maria
14
Forbes, Catherine Scipione
14
Lechner, Michael
14
Weber, Andrea
14
Bos, Charles S.
13
Gil-Alaña, Luis A.
13
Herbst, Edward P.
13
Huber, Martin
13
Lesage, James P.
13
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Institut für Schweizerisches Bankwesen <Zürich>
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CEA_372Cass working paper series
4
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2
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2
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1
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1
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ECONIS (ZBW)
14
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1
Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes
Bergamelli, Michele
-
2015
Monte
Carlo
analysis where we bootstrap the distribution of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10013025071
Saved in:
2
Combining p-values to test for multiple structural breaks in cointegrated regressions
Bergamelli, Michele
;
Bianchi, Annamaria
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012303823
Saved in:
3
Co-features in finance : co-arrivals and co-jumps
Novotný, Jan
;
Urga, Giovanni
-
2014
Persistent link: https://www.econbiz.de/10010440723
Saved in:
4
Maximum non-extensive entropy block bootstrap for non-stationary processes
Bergamelli, Michele
;
Novotný, Jan
;
Urga, Giovanni
-
2014
Persistent link: https://www.econbiz.de/10010440751
Saved in:
5
True vs spurious long memory : some theoretical results and a Monte
Carlo
comparison
Leccadito1, Arturo
;
Rachedi, Omar
;
Urga, Giovanni
-
2013
Persistent link: https://www.econbiz.de/10010440897
Saved in:
6
Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends
Kao, Chihwa
;
Trapani, Lorenzo
;
Urga, Giovanni
-
2011
Persistent link: https://www.econbiz.de/10009381370
Saved in:
7
Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
Kao, Chihwa
-
2011
units have a break. Our framework is extended to the case of cross correlated regressors and endogeneity. Monte
Carlo
…
Persistent link: https://www.econbiz.de/10013127390
Saved in:
8
Testing for Spurious Long Memory : A Monte
Carlo
Comparison with an Application to Credit Default Swaps
Leccadito, Arturo
-
2010
spurious long memory due to level shifts or breaks. We compare the tests in an extensive Monte
Carlo
experiment and analyze …
Persistent link: https://www.econbiz.de/10013146725
Saved in:
9
Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Leccadito, Arturo
;
Boffelli, Simona
;
Urga, Giovanni
- In:
International journal of forecasting
30
(
2014
)
2
,
pp. 206-216
Persistent link: https://www.econbiz.de/10010510949
Saved in:
10
True versus spurious long memory : some theoretical results and a Monte
Carlo
comparison
Leccadito, Arturo
;
Rachedi, Omar
;
Urga, Giovanni
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 452-479
Persistent link: https://www.econbiz.de/10011373268
Saved in:
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