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Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1343-1376
Persistent link: https://www.econbiz.de/10001527496
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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Mortgage terminations, heterogeneity and the exercise of mortgage options
Deng, Yongheng; Quigley, John M.; Van Order, Robert - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 2, pp. 275-307
Persistent link: https://www.econbiz.de/10001466181
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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
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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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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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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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Market microstructure invariance : empirical hypotheses
Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092
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Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102