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  • Search: subject:"heteroscedasticity and autocorrelation consistent"
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Year of publication
Subject
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Method of moments 3 Momentenmethode 3 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 Volatility 2 Volatilität 2 Blockwise empirical likelihood 1 Continuous updating estimator 1 Estimation theory 1 Fixed-smoothing asymptotics 1 Generalized Method of Moments 1 Generalized empirical likelihood 1 Generalized method of moments 1 Heteroscedasticity and Autocorrelation Consistent 1 Heteroscedasticity and autocorrelation consistent 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Monte Carlo Simulation 1 Over-identification test 1 Principal Component 1 Realized Volatility Measure 1 Regularized GMM 1 Robust GMM 1 Saddle point problem 1 Schätztheorie 1 Specification test 1 Stochastic Volatility Model 1 autocorrelation 1 conditional value at risk (CVaR) 1 heteroscedasticity 1 heteroscedasticity and autocorrelation consistent 1 heteroscedasticity and autocorrelation consistent (HAC) 1 linearity 1 mean variance analysis (MVA) 1 mean-conditional value at risk (M-CVaR) 1 mean-value at risk (M-VaR) 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Thesis 1 Working Paper 1
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Language
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English 3 Undetermined 1
Author
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Chaussé, Pierre 2 Xu, Dinghai 2 Bianchi, Robert John 1 Zhang, Xianyang 1
Published in...
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Econometric reviews 1 Journal of econometrics 1 Waterloo economic series : working paper 1
Source
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ECONIS (ZBW) 3 BASE 1
Showing 1 - 4 of 4
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GMM estimation of a realized stochastic volatility model : a Monte Carlo study
Chaussé, Pierre; Xu, Dinghai - In: Econometric reviews 37 (2018) 6/10, pp. 719-743
Persistent link: https://www.econbiz.de/10012040406
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GMM estimation of a stochastic volatility model with realized volatility: a Monte Carlo study
Chaussé, Pierre; Xu, Dinghai - 2012
Persistent link: https://www.econbiz.de/10009612401
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Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
Zhang, Xianyang - In: Journal of econometrics 193 (2016) 1, pp. 123-146
Persistent link: https://www.econbiz.de/10011704780
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Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk
Bianchi, Robert John - 2007
Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection...
Persistent link: https://www.econbiz.de/10009437793
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