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A semiparametric model for heterogeneous panel data with fixed effects
Boneva, Lena; Linton, Oliver; Vogt, Michael - In: Journal of econometrics 188 (2015) 2, pp. 327-345
Persistent link: https://www.econbiz.de/10011500509
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Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
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Calendar effect and in-sample forecasting
Mammen, Enno; Martinez Miranda, Maria Dolores; Nielsen, … - In: Insurance / Mathematics & economics 96 (2021), pp. 31-52
Persistent link: https://www.econbiz.de/10012482744
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The effect of fragmentation in trading on market quality in the UK equity market
Boneva, Lena; Linton, Oliver; Vogt, Michael - In: Journal of applied econometrics 31 (2016) 1, pp. 192-213
Persistent link: https://www.econbiz.de/10011642141