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Bootstrapping non-stationary stochastic volatility

Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - In: Journal of econometrics 224 (2021) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10013275368

Inference on co-integration parameters in heteroskedastic vector autoregressions

Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85

Persistent link: https://www.econbiz.de/10011615672

Adaptive wild bootstrap tests for a unit root with non‐stationary volatility

Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113

Persistent link: https://www.econbiz.de/10012166602

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

Zu, Yang; Boswijk, Herman Peter - In: Journal of empirical finance 41 (2017), pp. 53-75

Persistent link: https://www.econbiz.de/10011746959

Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

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Modeling box office revenues of motion pictures

Franses, Philip Hans - In: Technological forecasting & social change : an … 169 (2021), pp. 1-6

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Enjoyable econometrics

Franses, Philip Hans - 2018

Econometrics can at first appear a highly technical subject, but it can also equip the practitioner with a useful skillset of smart ways to formulate research questions and collect data. Enjoyable Econometrics applies econometric methods to a variety of unusual and engaging research questions,...