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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267
Persistent link: https://www.econbiz.de/10009301926
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects
Malikov, Emir; Kumbhakar, Subal; Sun, Yiguo - In: Journal of econometrics 190 (2016) 2, pp. 233-251
Persistent link: https://www.econbiz.de/10011592260
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wang, Yazhen - In: Journal of econometrics 203 (2018) 1, pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
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Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
Sun, Yiguo; Malikov, Emir - In: Journal of econometrics 203 (2018) 2, pp. 359-378
Persistent link: https://www.econbiz.de/10011974689