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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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The scale of predictability
Bandi, F. M.; Perron, Benoit; Tamoni, A.; Tebaldi, C. - In: Journal of econometrics 208 (2019) 1, pp. 120-140
Persistent link: https://www.econbiz.de/10012139815
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A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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Factor models for matrix-valued high-dimensional time series
Wang, Dong; Liu, Xialu; Chen, Rong - In: Journal of econometrics 208 (2019) 1, pp. 231-248
Persistent link: https://www.econbiz.de/10012139838
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Rolling window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67
Persistent link: https://www.econbiz.de/10011743498
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
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Indirect Inference with endogenously missing exogenous variables
Chaudhuri, Saraswata; Frazier, David T.; Renault, Eric - In: Journal of econometrics 205 (2018) 1, pp. 55-75
Persistent link: https://www.econbiz.de/10012110238
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
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Generalized indirect inference for discrete choice models
Bruins, Marianne; Duffy, James A.; Keane, Michael P.; … - In: Journal of econometrics 205 (2018) 1, pp. 177-203
Persistent link: https://www.econbiz.de/10012110253