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Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
Gonc̜alves, Sílva; Hounyo, Ulrich; Meddahi, Nour - 2013
Persistent link: https://www.econbiz.de/10009719165
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2013
Persistent link: https://www.econbiz.de/10009790617
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011624144
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Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015
Persistent link: https://www.econbiz.de/10011296884
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - 2018
Persistent link: https://www.econbiz.de/10011946395
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Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014
Persistent link: https://www.econbiz.de/10010339076
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The dividend-price ratio does predict dividend growth : international evidence
Engsted, Tom; Pedersen, Thomas Q. - 2009
Persistent link: https://www.econbiz.de/10003865691
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Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuowei; Shek, Howard Howan - 2010
Persistent link: https://www.econbiz.de/10003941851
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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On European monetary integration and the persistence of real effective exchange rates
Kruse, Robinson - 2010
Persistent link: https://www.econbiz.de/10003978309