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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
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Medium band least squares estimation of fractional cointegration in the presence of low-requency contamination
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - 2015
Persistent link: https://www.econbiz.de/10010529447
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Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de/10012316436
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Wavelet estimation for dynamic factor models with time-varying loadings
Cataño, Duván Humberto; Rodríguez-Caballero, Carlos … - 2019
Persistent link: https://www.econbiz.de/10012316927
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Outlier detection algorithms for least squares time series regression
Johansen, Søren; Nielsen, Bent - 2014
Persistent link: https://www.econbiz.de/10010418994
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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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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558