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person:"Dufour, Jean-Marie"
~isPartOf:"Journal of econometrics"
~person:"Bollerslev, Tim"
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Estimation theory
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Dufour, Jean-Marie
Bollerslev, Tim
Phillips, Peter C. B.
32
Lee, Lung-fei
21
Linton, Oliver
21
Chen, Songnian
20
Su, Liangjun
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Li, Qi
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Robinson, Peter M.
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Journal of econometrics
Econometric reviews
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Cahier / Département de Sciences Économiques, Université de Montréal
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Empirische Makroökonomik für Deutschland: Analysen, Prognosen, Politikberatung : Festschrift zum 65. Geburtstag von Udo Ludwig
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Essays in honor of Joon Y. Park : econometric theory
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Handbook of econometrics : volume 4
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
3
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory
Doko Tchatoka, Firmin
;
Dufour, Jean-Marie
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 390-418
Persistent link: https://www.econbiz.de/10012483007
Saved in:
4
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
5
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
6
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard
;
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 3-30
Persistent link: https://www.econbiz.de/10001755335
Saved in:
7
Estimators of the disturbance variance in econometric models : small-sample bias and the existence of moments
Dufour, Jean-Marie
- In:
Journal of econometrics
37
(
1988
)
2
,
pp. 277-292
Persistent link: https://www.econbiz.de/10003533625
Saved in:
8
Generalized autoregressive conditional heteroskedasticity
Bollerslev, Tim
- In:
Journal of econometrics
3
(
1986
),
pp. 307-327
Persistent link: https://www.econbiz.de/10001036197
Saved in:
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