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A Hausman test for the presence of market microstructure noise in high frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205

Persistent link: https://www.econbiz.de/10012303614

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Estimation of fractionally integrated panels with fixed effects and cross-section dependence

Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258

Persistent link: https://www.econbiz.de/10011818289

Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 199 (2017) 2, pp. 202-213

Persistent link: https://www.econbiz.de/10011897674

Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304

Persistent link: https://www.econbiz.de/10013441658

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

Parametric estimation of long memory in factor models

Ergemen, Yunus Emre - In: Journal of econometrics 235 (2023) 2, pp. 1483-1499

Persistent link: https://www.econbiz.de/10014471404

Financial development and economic growth : an empirical analysis for Ireland

Adamopoulos, Antonios - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 75-88

This study investigated the relationship between financial development and economic growth for Ireland for the period 1965-2007 using a vector error correction model (VECM). Questions were raised whether financial development causes economic growth or reversely taking into account the positive...

Persistent link: https://www.econbiz.de/10009009823

Does human capital cause economic growth? : a case study of India

Haldar, Sushil Kumar; Mallik, Girijasankar - In: International journal of economic sciences and applied … 3 (2010) 1, pp. 7-25

This study examines the time series behavior of investment in physical capital, human capital (comprising education and health) and output in a co-integration framework, taking growth of primary gross enrolment rate and a dummy for structural adjustment programme (openness which has been...

Persistent link: https://www.econbiz.de/10009009827