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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10008986693
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When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10009006828
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Sharp threshold based on sup-norm error rates in high-dimensional models
Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - 2015
Persistent link: https://www.econbiz.de/10011516996
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Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard; Lunde, Asger - 2010
Persistent link: https://www.econbiz.de/10003934448
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Risk or rare disasters, Euler equation errors and the performance of the C-CAPM
Posch, Olaf; Schrimpf, Andreas - 2012
Persistent link: https://www.econbiz.de/10009562837
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An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003863153
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
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Quadratic variation by Markov chains
Hansen, Peter Reinhard; Horel, Guillaume - 2009
Persistent link: https://www.econbiz.de/10003849527
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Least squares inference on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar; Voev, Valeri - 2009
Persistent link: https://www.econbiz.de/10003849539