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subject:"Schätzung"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Markov-Kette"
~subject:"Statistical distribution"
~subject:"Statistical test"
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Bayesian dynamic modeling of high-frequency integer price changes
Barra, István
;
Borowska, Agnieszka
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
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2
Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard
;
Chen, Cathy W. S.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
Saved in:
3
The HESSIAN method for models with leverage-like effects
Djegnéné, Barnabé
;
McCausland, William J.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 722-755
Persistent link: https://www.econbiz.de/10011339247
Saved in:
4
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
5
Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models
Hahn, Markus
;
Frühwirth-Schnatter, Sylvia
;
Sass, Jörn
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 88-121
Persistent link: https://www.econbiz.de/10003997336
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6
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim
;
Dijk, Dick van
;
Martens, Martin
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
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7
The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study
Caporale, Guglielmo Maria
;
Ntantamis, Christos
; …
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
2
,
pp. 282-309
Persistent link: https://www.econbiz.de/10002811388
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