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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Dynamic covariance matrix"
~subject:"Estimation theory"
~subject:"Futures"
~subject:"long memory"
~type_genre:"Article in journal"
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Dynamic covariance matrix
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Singular conditional autoregressive Wishart model for
realized
covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
3
A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
Saved in:
4
On estimation of hurst parameter under noisy observations
Liu, Guangying
;
Jing, Bingyi
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
Saved in:
5
A
realized
stochastic volatility model with box-cox transformation
Zheng, Tingguo
;
Song, Tao
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
4
,
pp. 593-605
Persistent link: https://www.econbiz.de/10010488412
Saved in:
6
Realized
volatility forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
Saved in:
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