Narrow search
Showing 1 - 10 of 10
Cover Image
Nonparametric filtering of the realized spot volatility : a kernel-based approach
Kristensen, Dennis - In: Econometric theory 26 (2010) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10003968526
Cover Image
Uniform convergence rates of kernel estimators with heterogeneous dependent data
Kristensen, Dennis - In: Econometric theory 25 (2009) 5, pp. 1433-1445
Persistent link: https://www.econbiz.de/10003885785
Cover Image
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
Kristensen, Dennis - In: Econometric theory 25 (2009) 5, pp. 1433-1446
Persistent link: https://www.econbiz.de/10008306940
Cover Image
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961
Persistent link: https://www.econbiz.de/10003101947
Cover Image
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
Kristensen, Dennis; Linton, Oliver - In: Econometric theory 22 (2006) 2, pp. 323-337
Persistent link: https://www.econbiz.de/10006955251
Cover Image
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961
Persistent link: https://www.econbiz.de/10006958470
Cover Image
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation-Solution
Kristensen, Dennis; Linton, Oliver - In: Econometric theory 20 (2004) 5, pp. 990
Persistent link: https://www.econbiz.de/10006962809
Cover Image
Testing and inference in nonlinear cointegrating vector erro correction models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 29 (2013) 6, pp. 1238-1288
Persistent link: https://www.econbiz.de/10010343726
Cover Image
A closed-form estimator for the GARCH (1,1) model
Kristensen, Dennis; Linton, Oliver - In: Econometric theory 22 (2006) 2, pp. 323-337
Persistent link: https://www.econbiz.de/10003301258
Cover Image
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - In: Econometric theory 32 (2016) 4, pp. 861-916
Persistent link: https://www.econbiz.de/10011644214