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Simplicity, scientific inference and econometric modelling
Keuzenkamp, Hugo A.; McAleer, Michael - 1994 - Rev.
Persistent link: https://www.econbiz.de/10000560594
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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Realized volatility and multipower variation
Andersen, Torben; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003892558
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Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - 2007
Persistent link: https://www.econbiz.de/10003482655
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Prediction-based estimating functions : review and new developments
Sørensen, Michael - 2011
Persistent link: https://www.econbiz.de/10008807426
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MCMC-based estimation of Markov Switching ARMA-GARCH models
Henneke, Jan S.; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Applied economics 43 (2011) 1/3, pp. 259-271
Persistent link: https://www.econbiz.de/10009011159
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Consistency of model averaging estimators
Zhang, Xinyu - In: Economics letters 130 (2015), pp. 120-123
Persistent link: https://www.econbiz.de/10011422458
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Prediction model averaging estimator
Xie, Tian - In: Economics letters 131 (2015), pp. 5-8
Persistent link: https://www.econbiz.de/10011422490
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Missing mean does no harm to volatility!
Anatolyev, Stanislav; Tarasyuk, Irina - In: Economics letters 134 (2015), pp. 62-64
Persistent link: https://www.econbiz.de/10011432253
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011373232