Similar Search Results

Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10010506092

Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave

Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 193 (2016) 1, pp. 234-250

Persistent link: https://www.econbiz.de/10011704803

Bayesian estimation of state space models using moment conditions

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211

Persistent link: https://www.econbiz.de/10011918691

Nonparametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10002756914

Jumps and betas : a new framework for disentangling and estimating systematic risks

Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10008663039

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189

Persistent link: https://www.econbiz.de/10009242526

Jump tails, extreme dependencies, and the distribution of stock returns

Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of econometrics 172 (2013) 2, pp. 307-324

Persistent link: https://www.econbiz.de/10009706199

A family of autoregressive conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003228621

The Distribution of Stock Return Volatility

Andersen, Torben G. - 2000

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm, solidify and extend existing characterizations of stock...

Persistent link: https://www.econbiz.de/10012470803