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The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
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Testing linear relationships between non-constant variances of economic variables
Hirukawa, Junichi; Raïssi, Hamdi - In: Economic modelling 90 (2020), pp. 182-189
Persistent link: https://www.econbiz.de/10012428132
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High-dimensional covariance forecasting based on principal component analysis of high-frequency data
Jian, Zhihong; Deng, Pingjun; Zhu, Zhican - In: Economic modelling 75 (2018), pp. 422-431
Persistent link: https://www.econbiz.de/10012101548
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Testing for Granger non-causality using the autoregressive metric
Di Iorio, Francesca; Triacca, Umberto - In: Economic modelling 33 (2013), pp. 120-125
Persistent link: https://www.econbiz.de/10010192026
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Bootstrap cointegration tests in ARDL models
Bertelli, Stefano; Vacca, Gianmarco; Zoia, Maria Grazia - In: Economic modelling 116 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014512301
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Towards the fundamentals of technical analysis : analysing the information content of high, low and close prices
Fiess, Norbert M.; MacDonald, Ronald - In: Economic modelling 19 (2002) 3, pp. 353-374
Persistent link: https://www.econbiz.de/10001662503
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Testing factor models when asset bubbles occur : a time-varying perspective
Yu, Lu; Li, Yanglin - In: Economic modelling 124 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014463291
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Testing for parameter restrictions in a stationary VAR model : a bootstrap alternative
Kim, Jae H. - In: Economic modelling 41 (2014), pp. 267-273
Persistent link: https://www.econbiz.de/10010438337