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  • Search: subject:"parameter estimation uncertainty"
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Year of publication
Subject
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Parameter estimation uncertainty 6 Estimation theory 4 Schätztheorie 4 parameter estimation uncertainty 4 Boundary bias 2 Continuous-time model 2 Hellinger metric 2 Kernel method 2 Nichtparametrisches Verfahren 2 Nonparametric statistics 2 Probability integral transform 2 Quadratic form 2 Serial dependence 2 Short-term interest rate 2 Statistical distribution 2 Statistical test 2 Statistische Verteilung 2 Statistischer Test 2 Time series analysis 2 Transition density 2 Unobservable errors 2 Zeitreihenanalyse 2 ARCH model 1 ARCH-Modell 1 ARL 1 Autoregressive Conditional Duration 1 Bootstrap 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Credit risk 1 Dispersion Clustering 1 Empirical characteristic function 1 Empirical process 1 Empirical processes 1 Estimation 1 European monetary policy 1 F-distribution 1 Financial risk 1 Finanzrisiko 1 Finite Sample Correction 1
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Online availability
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Free 6 Undetermined 5
Type of publication
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Article 7 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Report 1 Thesis 1 Working Paper 1
Language
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English 6 Undetermined 5
Author
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Du, Zaichao 3 Hong, Yongmiao 3 Li, Haitao 2 Biljon, L. van 1 Escanciano, Juan Carlos 1 Haasbroek, L. J. 1 Lee, Yoon-Jin 1 Panman, Kevin 1 Sahuc, Jean-Guillaume 1 Schutte, W. D. 1 Sun, Yixiao 1 Verster, Tanja 1 Wang, Xuexin 1 Webster, Ronald A. 1 Yi‐Ting Chen 1
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Institution
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Center for Applied Economics and Policy Research (CAEPR), Department of Economics 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Caepr Working Papers 1 Computational Statistics & Data Analysis 1 Econometric reviews 1 Journal of Forecasting 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 The International Journal of Applied Economics 1 The econometrics journal 1 The journal of risk model validation 1
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Source
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RePEc 5 ECONIS (ZBW) 4 BASE 1 EconStor 1
Showing 11 - 11 of 11
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Nonparametric specification testing for continuous-time models with application to spot interest rates
Hong, Yongmiao; Li, Haitao - Sonderforschungsbereich 373, Quantifikation und … - 2002
We propose two nonparametric transition density-based speciþcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...
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