Narrow search
Showing 1 - 10 of 3,501
Cover Image
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Cover Image
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Cover Image
Properties and estimation of asymmetric exponential power distribution
Zhu, Dongming; Zinde-Walsh, Victoria - In: Journal of econometrics 148 (2009) 1, pp. 86-99
Persistent link: https://www.econbiz.de/10003813144
Cover Image
Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
Cover Image
Generalized spectral testing for multivariate continuous-time models
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 164 (2011) 2, pp. 268-293
Persistent link: https://www.econbiz.de/10009301912
Cover Image
Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP
Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466
Persistent link: https://www.econbiz.de/10009730816
Cover Image
A unified approach to validating univariate and multivariate conditional distribution models in time series
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 178 (2014) 1, pp. 22-44
Persistent link: https://www.econbiz.de/10010254990
Cover Image
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Cover Image
Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
Cover Image
The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; … - In: Journal of econometrics 221 (2021) 2, pp. 655-675
Persistent link: https://www.econbiz.de/10012619254