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Liquidity and trading dynamics
Guerrieri, Veronica; Lorenzoni, Guido - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 6, pp. 1751-1790
Persistent link: https://www.econbiz.de/10003943419
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Behavioral learning equilibria
Hommes, Cars H.; Zhu, Mei - 2013
Persistent link: https://www.econbiz.de/10010191433
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Market microstructure invariance : empirical hypotheses
Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092
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Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006
Persistent link: https://www.econbiz.de/10003332143
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Bootstrapping realized volatility
Gonçalves, Sílvia; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 283-306
Persistent link: https://www.econbiz.de/10003866987
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 6, pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822