Narrow search
Showing 91 - 100 of 355
Cover Image
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Cover Image
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Cover Image
Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
Cover Image
Subjective mortality risk and bequests
Gan, Li; Gong, Guan; Hurd, Michael D.; McFadden, Daniel - In: Journal of econometrics 188 (2015) 2, pp. 514-525
Persistent link: https://www.econbiz.de/10011503653
Cover Image
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
Cover Image
High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
Cover Image
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Cover Image
Asset-pricing anomalies at the firm level
Cederburg, Scott; O'Doherty, Michael - In: Journal of econometrics 186 (2015) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10011349540
Cover Image
Micro(structure) before macro? : the predictive power of aggregate illiquidity for stock returns and economic activity
Chen, Yong; Eaton, Gregory W.; Paye, Bradley S. - In: Journal of financial economics 130 (2018) 1, pp. 48-73
Persistent link: https://www.econbiz.de/10012051279
Cover Image
Do elections delay regulatory action?
Leverty, J. Tyler; Grace, Martin Francis - In: Journal of financial economics 130 (2018) 2, pp. 309-427
Persistent link: https://www.econbiz.de/10012051328