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isPartOf:"Journal of econometrics"
~person:"Granger, C. W. J."
~person:"Park, Joon Y."
~subject:"Heteroskedastizität"
~subject:"Spot interest rate"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Heteroskedastizität
Spot interest rate
Volatility
5
Volatilität
5
Estimation theory
3
Schätztheorie
3
Estimation
2
Heteroscedasticity
2
Regression analysis
2
Regressionsanalyse
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Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
2
ARCH model
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ARCH-Modell
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Asymptotics
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Börsenkurs
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Capital income
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Cauchy estimator
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Diffusion
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Diffusive and jump volatility
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Drift
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High frequency observation
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Information criterion
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Interest rate
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Jump diffusion
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Kapitaleinkommen
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Likelihood ratio
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Local time
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Lévy measure
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Model selection
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Nichtparametrisches Verfahren
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Nonparametric estimation
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Optimal bandwidth
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Option pricing theory
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Aufsatz in Zeitschrift
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Granger, C. W. J.
Park, Joon Y.
Botosaru, Irene
1
Brüggemann, Ralf
1
Choi, Hwan-sik
1
Chung, Heetaik
1
Dette, Holger
1
Gonçalves, Sílvia
1
Hallin, Marc
1
Harvey, Andrew C.
1
Jentsch, Carsten
1
Jeong, Minsoo
1
Kilian, Lutz
1
La Vecchia, Davide
1
Machina, Mark J.
1
Palumbo, Dario
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Podolskij, Mark
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Trenkler, Carsten
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik
;
Jeong, Minsoo
;
Park, Joon Y.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
Saved in:
2
Nonstationary nonlinear heteroskedasticity in regression
Chung, Heetaik
;
Park, Joon Y.
- In:
Journal of econometrics
137
(
2007
)
1
,
pp. 230-259
Persistent link: https://www.econbiz.de/10003425535
Saved in:
3
Structural attribution of observed volatility clustering
Granger, C. W. J.
;
Machina, Mark J.
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 15-29
Persistent link: https://www.econbiz.de/10003376075
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