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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Sieve estimation of option-implied state price density
Luo, Junwen; Qu, Zhongjun - In: Journal of econometrics 224 (2021) 1, pp. 88-112
Persistent link: https://www.econbiz.de/10013275364
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
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Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 200 (2017) 1, pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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Occupation density estimation for noisy high-frequency data
Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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Variation and efficiency of high-frequency betas
Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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Monetary policy spillovers : the impact of ECB conventional and unconventional monetary policies on the Swiss stock market
Fausch, Jürg; Sutter, Daniel - In: Applied economics letters 31 (2024) 2, pp. 122-127
Persistent link: https://www.econbiz.de/10014448257
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Rational bubbles in the US stock market? : further evidence from a nonparametric cointegration test
Chang, Tsangyao; Chiu, Chi-chen; Nieh, Chien-chung - In: Applied economics letters 14 (2007) 7/9, pp. 517-521
Persistent link: https://www.econbiz.de/10003512167