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Citations for "Adaptive Estimation in Time Series Models"

by Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M.

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  1. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
  3. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
  4. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, 09.
  5. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  6. Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Centre de Recherche en Economie et Statistique.
  7. Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
  8. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
  10. Marc Hallin & Abdeslam Serroukh, 1999. "Adaptive estimation of the lag of a long-memory process," ULB Institutional Repository 2013/2085, ULB -- Universite Libre de Bruxelles.
  11. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
  12. Anton Schick & Wolfgang Wefelmeyer, 2002. "Estimating the Innovation Distribution in Nonlinear Autoregressive Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 245-260, June.
  13. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," CORE Discussion Papers 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.
  15. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38_07, The Rimini Centre for Economic Analysis.
  16. Arie Preminger & Christian M. Hafner, 2006. "Asymptotic Theory For A Factor Garch Model," Working Papers 0608, Ben-Gurion University of the Negev, Department of Economics.
  17. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
  18. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
  19. repec:rim:rimwps:38-07 is not listed on IDEAS
  20. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
  21. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
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