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Robust inference in conditionally heteroskedastic autoregressions
Rasmus Søndergaard Pedersen
42
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Dive into the research topics of 'Robust inference in conditionally heteroskedastic autoregressions'. Together they form a unique fingerprint.
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Business & Economics
Autoregression
86%
Autoregressive Model
24%
Economic Statistics
29%
Finite Sample Properties
27%
GARCH
44%
Innovation
49%
Least Squares
23%
Least Squares Estimator
54%
Limiting Distribution
55%
Rate of Convergence
54%
Robust Inference
100%
Simulation Experiment
24%
Statistics
32%
T-test
21%
Tail Index
33%
Testing
18%