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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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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
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
Persistent link: https://www.econbiz.de/10011498788
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Autoregressive wild bootstrap inference for nonparametric trends
Friedrich, Marina; Smeekes, Stephan; Urbain, Jean-Pierre - In: Journal of econometrics 214 (2020) 1, pp. 81-109
Persistent link: https://www.econbiz.de/10012438108
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Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
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Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 198 (2017) 1, pp. 165-188
Persistent link: https://www.econbiz.de/10011818374