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Measuring and forecasting financial variability using realised variance

Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil G. - In: State space and unobserved component models : theory …, (pp. 205-235). 2004

Persistent link: https://www.econbiz.de/10009719924

Asymptotic analysis of the forward search

Johansen, Søren; Nielsen, Bent - 2013

Persistent link: https://www.econbiz.de/10009712471

Asymptotic analysis of the forward search

Johansen, Søren; Nielsen, Bent - 2013

Persistent link: https://www.econbiz.de/10009712562

Outlier detection in regression using an iterated one-step approximation to the huber-skip estimator

Johansen, Søren; Nielsen, Bent - In: Econometrics : open access journal 1 (2013) 1, pp. 53-70

In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...

Persistent link: https://www.econbiz.de/10009754516