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Is the extension of trading hours always beneficial? : an artificial agent-based analysis
Miwa, Kotaro; Ueda, Kazuhiro - In: Computational economics 50 (2017) 4, pp. 595-627
Persistent link: https://www.econbiz.de/10011783458
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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Evolution of forecast disagreement in a Bayesian learning model
Lahiri, Kajal; Sheng, Xuguang - In: Journal of econometrics 144 (2008) 2, pp. 325-340
Persistent link: https://www.econbiz.de/10003774622
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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The common and specific components of dynamic volatility
Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
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A flexible prior distribution for Markov switching autoregressions with student-t errors
Deschamps, Jean-Philippe - In: Journal of econometrics 133 (2006) 1, pp. 153-190
Persistent link: https://www.econbiz.de/10003354563
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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MCMC maximum likelihood for latent state models
Jacquier, Eric; Johannes, Michael; Polson, Nicholas G. - In: Journal of econometrics 137 (2007) 2, pp. 615-640
Persistent link: https://www.econbiz.de/10003442024