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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418999
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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Realized volatility and multipower variation
Andersen, Torben; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003892558
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Prediction-based estimating functions : review and new developments
Sørensen, Michael - 2011
Persistent link: https://www.econbiz.de/10008807426
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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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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - 2012
Persistent link: https://www.econbiz.de/10009667400
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Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014
Persistent link: https://www.econbiz.de/10010433252
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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10003849492
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Testing a parametric function against nonparametric alternative in IV and GMM settings
Gørgens, Tue; Würtz, Allan H. - 2009
Persistent link: https://www.econbiz.de/10003903437