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A martingale decomposition of discrete Markov chains
Hansen, Peter Reinhard - 2015
Persistent link: https://www.econbiz.de/10010514601
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Testing for heteroscedasticity in jumpy and noisy high-frequency data : a resampling approach
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - 2016
Persistent link: https://www.econbiz.de/10011541690
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System estimation of panel data models under long-range dependence
Ergemen, Yunus Emre - 2016
Persistent link: https://www.econbiz.de/10011421766
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Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - 2016
Persistent link: https://www.econbiz.de/10011524100
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011373232
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A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Floor Brix, Anne; Lunde, Asger; Wei, Wei - 2015
Persistent link: https://www.econbiz.de/10011373234
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Edgeworth expansion for the pre-averaging estimator
Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro - 2015
Persistent link: https://www.econbiz.de/10011409117
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Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei; Hanck, Christoph; Kruse, Robinson - 2016
Persistent link: https://www.econbiz.de/10011409125
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Maximum likelihood estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni - 2015
Persistent link: https://www.econbiz.de/10011409357
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Inference in partially identified models with many moment inequalities using Lasso
Bugni, Federico A.; Caner, Mehmet; Kock, Anders Bredahl; … - 2016
Persistent link: https://www.econbiz.de/10011474717