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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003849570
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Forecasting covariance matrices : a mixed frequency approach
Halbleib, Roxana; Voev, Valeri - 2011
Persistent link: https://www.econbiz.de/10008807445
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Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2012
Persistent link: https://www.econbiz.de/10009667363
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Generalized forecast error variance decomposition for linear and nonlinear multivariate models
Lanne, Markku; Nyberg, Henri - 2014
Persistent link: https://www.econbiz.de/10010358974
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Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio - 2018
Persistent link: https://www.econbiz.de/10011864983
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On spectral distribution of high dimensional covariation matrices
Heinrich, Claudio; Podolskij, Mark - 2014
Persistent link: https://www.econbiz.de/10010442408
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Jump testing and the speed of market adjustment
Rasmussen, Torben B. - 2009
Persistent link: https://www.econbiz.de/10003849503
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Testing conditional factor models
Kristensen, Dennis; Ang, Andrew - 2009
Persistent link: https://www.econbiz.de/10003849517
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Statistical vs. economic significance in economics and econometrics : further comments on McCloskey & Ziliak
Engsted, Tom - 2009
Persistent link: https://www.econbiz.de/10003849542
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Robust data-driven inference for density-weighted average derivatives
Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2009
Persistent link: https://www.econbiz.de/10003883600