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Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut E. D. - In: Econometric theory 26 (2010) 2, pp. 331-368
Persistent link: https://www.econbiz.de/10003968591
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Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
Levine, Michael; Li, Jinguang - In: Econometric theory 28 (2012) 3, pp. 629-669
Persistent link: https://www.econbiz.de/10009545818
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Econometric analysis of volatility component models
Wang, Fangfang; Ghysels, Eric - In: Econometric theory 31 (2015) 2, pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
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Let's get lade : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - In: Econometric theory 31 (2015) 4, pp. 671-702
Persistent link: https://www.econbiz.de/10011341932
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Nonparametric estimation of the diffusion coefficient of stochastic volatility models
Renò, Roberto - In: Econometric theory 24 (2008) 5, pp. 1174-1206
Persistent link: https://www.econbiz.de/10003748738
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Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun; Park, Joon Y.; Wang, Bin - In: Econometric theory 37 (2021) 5, pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
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Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia; Liu, Yunxiao - In: Econometric theory 37 (2021) 4, pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
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Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
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Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometric theory 32 (2016) 5, pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745