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Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo; Seo, Myung Hwan - In: Journal of econometrics 188 (2015) 1, pp. 166-181
Persistent link: https://www.econbiz.de/10011500287
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Sparse HP filter : finding kinks in the COVID-19 contact rate
Lee, Sokbae; Liao, Yuan; Seo, Myung Hwan; Shin, Youngki - In: Journal of econometrics 220 (2021) 1, pp. 158-180
Persistent link: https://www.econbiz.de/10012618477
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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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High-dimensional predictive regression in the presence of cointegration
Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; … - In: Journal of econometrics 219 (2020) 2, pp. 456-477
Persistent link: https://www.econbiz.de/10012483404
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Modelling regional patterns of inefficiency : a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales
Klein, Nadja; Herwartz, Helmut; Kneib, Thomas - In: Journal of econometrics 214 (2020) 2, pp. 513-539
Persistent link: https://www.econbiz.de/10012439076
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 207 (2018) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525