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ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

Kristensen, Dennis; Rahbek, Anders - In: Econometric Theory 21 (2005) 05, pp. 946-961

Persistent link: https://www.econbiz.de/10005411967

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

Kristensen, Dennis; Rahbek, Anders - In: Econometric Theory 29 (2013) 06, pp. 1238-1288

Persistent link: https://www.econbiz.de/10010711576

03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation

Kristensen, Dennis; Linton, Oliver - In: Econometric Theory 19 (2003) 05, pp. 879-880

Persistent link: https://www.econbiz.de/10005411680

UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA

Kristensen, Dennis - In: Econometric Theory 25 (2009) 05, pp. 1433-1445

The main uniform convergence results of Hansen (2008, <italic>Econometric Theory</italic> 24, 726–748) are generalized in two directions: Data are allowed to (a) be heterogeneously dependent and (b) depend on a (possibly unbounded) parameter. These results are useful in semiparametric estimation problems...

Persistent link: https://www.econbiz.de/10004981617

A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

Kristensen, Dennis; Linton, Oliver - In: Econometric Theory 22 (2006) 02, pp. 323-337

Persistent link: https://www.econbiz.de/10005104557

03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution

Kristensen, Dennis; Linton, Oliver - In: Econometric Theory 20 (2004) 05, pp. 990-993

Persistent link: https://www.econbiz.de/10005610578

NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

Kristensen, Dennis - In: Econometric Theory 26 (2010) 01, pp. 60-93

A kernel weighted version of the standard realized integrated volatility estimator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the...

Persistent link: https://www.econbiz.de/10008496671

ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

Jensen, S ren Tolver; Rahbek, Anders - In: Econometric Theory 20 (2004) 06, pp. 1203-1226

Persistent link: https://www.econbiz.de/10005411616

ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS

Jensen, S ren Tolver; Rahbek, Anders - In: Econometric Theory 23 (2007) 04, pp. 761-766

Persistent link: https://www.econbiz.de/10005411753

THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL

Nielsen, Heino Bohn; Rahbek, Anders - In: Econometric Theory 23 (2007) 04, pp. 615-637

Persistent link: https://www.econbiz.de/10005411802