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CREATES research paper
Economics Series Working Papers / Department of Economics, Oxford University
69
Economics Papers / Economics Group, Nuffield College, University of Oxford
59
Economics discussion papers
35
Journal of econometrics
28
CREATES Research Papers
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OFRC Working Papers Series
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
22
Department of Economics discussion paper series / University of Oxford
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of Econometrics
12
Oxford Financial Research Centre economics series
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
11
Journal of applied econometrics
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Working Paper
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Working papers / Brown University, Department of Economics
10
The econometrics journal
9
Econometric theory
8
Journal of Applied Econometrics
7
Journal of Business & Economic Statistics
7
Journal of Financial Econometrics
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Working Papers / Brown University, Department of Economics
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Econometrica
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Stochastic Processes and their Applications
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CREATES Research Paper
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Econometric Theory
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Journal of financial econometrics
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Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
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Discussion paper / Tinbergen Institute
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Econometric modelling of durations between economic events
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Econometric reviews
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Economics Working Papers / Department of Economics, European University Institute
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Oxford bulletin of economics and statistics
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Scandinavian Journal of Statistics
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Suntory Toyota International Centre for Economics and Related Disciplines
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Advanced texts in econometrics
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Discussion paper / Department of Economics, University of California San Diego
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ECONIS (ZBW)
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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
Saved in:
2
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2010
Persistent link: https://www.econbiz.de/10008746092
Saved in:
3
The model confidence set
Hansen, Peter Reinhard
;
Lunde, Asger
;
Nason, James Michael
-
2010
Persistent link: https://www.econbiz.de/10008780026
Saved in:
4
A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
5
Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
-
2021
Persistent link: https://www.econbiz.de/10012621491
Saved in:
6
Integer-valued Lévy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.
;
Pollard, David G.
;
Shephard, …
-
2010
Persistent link: https://www.econbiz.de/10008659413
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7
A martingale decomposition of discrete Markov chains
Hansen, Peter Reinhard
-
2015
Persistent link: https://www.econbiz.de/10010514601
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8
Gamma kernels and BSS/LSS processes
Barndorff-Nielsen, Ole E.
-
2016
Persistent link: https://www.econbiz.de/10011447823
Saved in:
9
Quadratic variation by Markov chains
Hansen, Peter Reinhard
;
Horel, Guillaume
-
2009
Persistent link: https://www.econbiz.de/10003849527
Saved in:
10
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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