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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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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 6, pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
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Modeling and forecasting realized volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
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Using asset prices to measure the persistence of the marginal utility of wealth
Alvarez, Fernando; Jermann, Urban J. - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 6, pp. 1977-2016
Persistent link: https://www.econbiz.de/10003185987
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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
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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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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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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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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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Long-term risk : an operator approach
Hansen, Lars Peter; Scheinkman, José Alexandre - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 177-234
Persistent link: https://www.econbiz.de/10003866983