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Subject
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Börsenkurs 1 Efficient Method of Moments 1 Estimation 1 Estimation theory 1 Heteroskedasticity 1 Method of moments 1 Momentenmethode 1 Parameter updates 1 Schätztheorie 1 Schätzung 1 Share price 1 Statistical theory 1 Statistische Methodenlehre 1 Stochastic process 1 Stochastic volatility models 1 Stochastischer Prozess 1 Structural stability tests 1 Volatility 1 Volatilität 1
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Free 1
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Sluis, Pieter J. van der 1
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Discussion paper / Tinbergen Institute 1
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ECONIS (ZBW) 1
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...
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