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Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H. - In: Econometric reviews 21 (2002) 4, pp. 397-417
Persistent link: https://www.econbiz.de/10001718218
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State space models and MIDAS regression
Bai, Jennie; Ghysels, Eric; Wright, Jonathan H. - In: Econometric reviews 32 (2013) 7, pp. 779-813
Persistent link: https://www.econbiz.de/10009758619
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[Rezension von: Franses, Philip Hans, Periodicity and stochastic trends in economic time series]
Faust, Jon - In: Econometric reviews 17 (1998) 3, pp. 335-338
Persistent link: https://www.econbiz.de/10001349971
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LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
Wright, Jonathan - In: Econometric reviews 21 (2002) 4, pp. 397-418
Persistent link: https://www.econbiz.de/10006892689
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State Space Models and MIDAS Regressions
Bai, Jennie; Ghysels, Eric; Wright, Jonathan H. - In: Econometric reviews 32 (2013) 7, pp. 779-813
Persistent link: https://www.econbiz.de/10010088587