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Functional GARCH models : the quasi-likelihood approach and its applications

Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried - In: Journal of econometrics 209 (2019) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10012302614

Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification

Kaufmann, Sylvia; Schumacher, Christian - In: Journal of econometrics 210 (2019) 1, pp. 116-134

Persistent link: https://www.econbiz.de/10012303383

High-dimensional multivariate realized volatility estimation

Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136

Persistent link: https://www.econbiz.de/10012303903

Accelerating GARCH and score-driven models : optimality, estimation and forecasting

Blasques, Francisco F.; Gorgi, Paolo; Koopman, Siem Jan S.J. - 2017

We first consider an extension of the generalized autoregressive conditional heteroskedasticity (GARCH) model that allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the squared-return in the GARCH model is time- varying with an...

Persistent link: https://www.econbiz.de/10011688512

Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

On high frequency estimation of the frictionless price : the use of observed liquidity variables

Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143

Persistent link: https://www.econbiz.de/10011917437

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

Persistent link: https://www.econbiz.de/10011350381

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10012145042

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126

Persistent link: https://www.econbiz.de/10011743785