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Time-varying mixing weights in mixture autoregressive conditional duration models
De Luca, Giovanni; Gallo, Giampiero M. - In: Econometric reviews 28 (2009) 1/3, pp. 102-120
Persistent link: https://www.econbiz.de/10003800670
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A nonparametric Bayesian approach to detect the number of regimes in Markov switching models
Otranto, Edoardo; Gallo, Giampiero M. - In: Econometric reviews 21 (2002) 4, pp. 477-496
Persistent link: https://www.econbiz.de/10001718228
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On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
Luca, Giovanni De; Gallo, Giampiero M. - In: Econometric reviews 28 (2008) 1, pp. 102-121
Persistent link: https://www.econbiz.de/10009266580