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Rainer Dahlhaus

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First Name:Rainer
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Last Name:Dahlhaus
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RePEc Short-ID:pda141
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Homepage:http://math.uni-heidelberg.de/stat/people/dahlhaus/Dahlhaus.html
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  1. R. Dahlhaus & M. Neumann & R. von Sachs, 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  1. Rainer Dahlhaus & Jan C. Neddermeyer, 2013. "Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 174-212, December.
  2. Konstantinos Paraschakis & Rainer Dahlhaus, 2012. "Frequency and phase estimation in time series with quasi periodic components," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 13-31, 01.
  3. Dahlhaus, Rainer, 2009. "Local inference for locally stationary time series based on the empirical spectral measure," Journal of Econometrics, Elsevier, vol. 151(2), pages 101-112, August.
  4. Rainer Dahlhaus, 2006. "Diagnostic Checks in Time Series by W.K. Li," Biometrics, The International Biometric Society, vol. 62(1), pages 308-309, 03.
  5. Sébastien Van Bellegem & Rainer Dahlhaus, 2006. "Semiparametric estimation by model selection for locally stationary processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(5), pages 721-746.
  6. Brockwell, P. J. & Dahlhaus, R., 2004. "Generalized Levinson-Durbin and Burg algorithms," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 129-149.
  7. Dahlhaus, Rainer & Neumann, Michael H., 2001. "Locally adaptive fitting of semiparametric models to nonstationary time series," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 277-308, February.
  8. Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
  9. B. Arnold & W. Wertz & B. Pötscher & D. Voss & R. Shimizu & R. Dahlhaus & M. Leitner & O. Krafft & G. Pflug, 1992. "Book reviews," Metrika, Springer, vol. 39(1), pages 56-66, December.
  10. Dahlhaus, R. & Pötscher, B. M., 1989. "Convergence results for maximum likelihood type estimators in multivariable ARMA models II," Journal of Multivariate Analysis, Elsevier, vol. 30(2), pages 241-244, August.
  11. Dahlhaus, Rainer, 1988. "Empirical spectral processes and their applications to time series analysis," Stochastic Processes and their Applications, Elsevier, vol. 30(1), pages 69-83, November.
  12. Dahlhaus, Rainer, 1985. "A functional limit theorem for tapered empirical spectral functions," Stochastic Processes and their Applications, Elsevier, vol. 19(1), pages 135-149, February.
  13. Dahlhaus, Rainer, 1985. "Asymptotic normality of spectral estimates," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 412-431, June.

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