Similar Search Results

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10001663892

Estimating the COVID-19 infection rate : anatomy of an inference problem

Manski, Charles F.; Molinari, Francesca - 2020

As a consequence of missing data on tests for infection and imperfect accuracy of tests, reported rates of cumulative population infection by the SARS CoV-2 virus are lower than actual rates of infection. Hence, reported rates of severe illness conditional on infection are higher than actual...

Persistent link: https://www.econbiz.de/10012216978

Identifying network ties from panel data : theory and an application to tax competition

Paula, Áureo de; Rasul, Imran; Souza, Pedro C. L. - 2023

are all globally identified. While this result is relevant across different estimation strategies, we then describe how … high-dimensional estimation techniques can be used to estimate the interactions model based on the Adaptive Elastic Net …

Persistent link: https://www.econbiz.de/10013489546

Identifying network ties from panel data : theory and an application to tax competition

Paula, Áureo de; Rasul, Imran; Souza, Pedro C. L. - 2023

-varying networks. We then describe how high-dimensional estimation techniques can be used to estimate the interactions model based on …

Persistent link: https://www.econbiz.de/10014380650

Jumps and betas : a new framework for disentangling and estimating systematic risks

Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10008663039

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10011499728

Estimating the COVID-19 infection rate : anatomy of an inference problem

Manski, Charles F.; Molinari, Francesca - In: Journal of econometrics 220 (2021) 1, pp. 181-192

Persistent link: https://www.econbiz.de/10012618481

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Multivariate leverage effects and realized semicovariance GARCH models

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430

Persistent link: https://www.econbiz.de/10012482780