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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
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Nonparametric estimation methods of integrated multivariate volatilities
Hoshikawa, Toshiya; Nagai, Keiji; Kanatani, Taro; … - In: Econometric reviews 27 (2008) 1/3, pp. 112-138
Persistent link: https://www.econbiz.de/10003761218
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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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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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Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
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The estimation for Lévy processes in high frequency data
Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
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A diagnostic test for specification of copulas under censorship
Lin, Juan; Wu, Ximing - In: Econometric reviews 39 (2020) 9, pp. 930-946
Persistent link: https://www.econbiz.de/10012295589
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A robust entropy-based test of asymmetry for discrete and continuous processes
Maasoumi, Esfandiar; Racine, Jeffrey - In: Econometric reviews 28 (2009) 1/3, pp. 246-261
Persistent link: https://www.econbiz.de/10003800738
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Robustness of bootstrap in instrumental variable regression
Camponovo, Lorenzo; Otsu, Taisuke - In: Econometric reviews 34 (2015) 1/5, pp. 352-393
Persistent link: https://www.econbiz.de/10011373276