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Bayesian vector autoregressions with stochastic volatility
Uhlig, Harald - In: Econometrica : journal of the Econometric Society, an … 65 (1997) 1, pp. 59-73
Persistent link: https://www.econbiz.de/10001217067
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High breakdown point conditional dispersion estimation with application to S&P 500 daily returns to volatility
Sakata, Shinichi - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 3, pp. 529-567
Persistent link: https://www.econbiz.de/10001240761
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Regression with nonstationary volatility
Hansen, Bruce E. - In: Econometrica : journal of the Econometric Society, an … 63 (1995) 5, pp. 1113-1132
Persistent link: https://www.econbiz.de/10001190384
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
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Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
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Statistical properties of microstructure noise
Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
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Social security and demographic shocks
Demange, Gabrielle; Laroque, Guy - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 3, pp. 527-542
Persistent link: https://www.econbiz.de/10001378191
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Uncertainty and unemployment
Schaal, Edouard - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 6, pp. 1675-1721
Persistent link: https://www.econbiz.de/10011791618