Narrow search
Showing 1 - 10 of 16
Cover Image
Efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael; Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003903502
Cover Image
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando; Sørensen, Michael - 2010
Persistent link: https://www.econbiz.de/10008651742
Cover Image
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, Mogens; Sørensen, Michael - 2010
Persistent link: https://www.econbiz.de/10008651750
Cover Image
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
Han, Heejoon; Kristensen, Dennis - 2012
Persistent link: https://www.econbiz.de/10009537600
Cover Image
An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003863153
Cover Image
Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003875669
Cover Image
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010529443
Cover Image
Estimation of DSGE models under diffuse priors and data-driven identification constraints
Lanne, Markku; Luoto, Jani - 2015
Persistent link: https://www.econbiz.de/10011327710
Cover Image
Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Munkholt Jakobsen, Nina; Sørensen, Michael - 2015
Persistent link: https://www.econbiz.de/10011327728
Cover Image
Maximum likelihood estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni - 2015
Persistent link: https://www.econbiz.de/10011409357