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Linton, Oliver; Xiao, Zhijie - In: Econometric theory 23 (2007) 3, pp. 371-413

Persistent link: https://www.econbiz.de/10003541196

Quantile cointegrating regression

Xiao, Zhijie - In: Journal of econometrics 150 (2009) 2, pp. 248-260

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Why are estimates of agricultural supply response so variable?

Diebold, Francis X. - In: Journal of econometrics 76 (1997) 1, pp. 357-373

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Long memory and regime switching

Diebold, Francis X.; Inoue, Atsushi - In: Journal of econometrics 105 (2001) 1, pp. 131-159

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Second-order approximation for adaptive regression estimators

Linton, Oliver; Xiao, Zhijie - In: Econometric theory 17 (2001) 5, pp. 984-1024

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Optimal prediction under asymmetric loss

Christoffersen, Peter F. - In: Econometric theory 13 (1997) 6, pp. 808-817

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Higher-order approximations for frequency domain time series regression

Xiao, Zhijie - In: Journal of econometrics 86 (1998) 2, pp. 297-336

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On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean

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Measuring Volatility Dynamics

Diebold, Francis X. - 1995

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility modeling that are of particular relevance in...

Persistent link: https://www.econbiz.de/10012473891

On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates

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Persistent link: https://www.econbiz.de/10014471814