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Inference for time series regression models with weakly dependent and heteroscedastic errors
Rho, Yeonwoo; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 444-457
Persistent link: https://www.econbiz.de/10011391388
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On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
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Approximately median-unbiased estimation of autoregressive models
Andrews, Donald W. K. - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 2, pp. 187-204
Persistent link: https://www.econbiz.de/10001167115
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On estimation of hurst parameter under noisy observations
Liu, Guangying; Jing, Bingyi - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
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Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
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Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10001209347