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Testing for long memory in potentially nonstationary perturbed fractional processes
Frederiksen, Per; Nielsen, Frank S. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 329-381
Persistent link: https://www.econbiz.de/10010351544
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Jackknife for bias reduction in predictive regressions
Zhu, Min - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 193-220
Persistent link: https://www.econbiz.de/10009708916
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Horizon confidence sets
Fosten, Jack; Gutknecht, Daniel - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 667-692
Persistent link: https://www.econbiz.de/10012616872
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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Price bubbles of agricultural commodities : evidence from China's futures market
Chen, Zhuo; Yan, Bo; Kang, Hanwen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 195-222
Persistent link: https://www.econbiz.de/10014226282
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Estimation and inference in ARCH models in the presence of outliers
Gregory, Allan W.; Reeves, Jonathan J. - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 547-569
Persistent link: https://www.econbiz.de/10008665738
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Generalized moment tests for autoregressive conditional duration models
Chen, Yi-ting; Hsieh, Chih-sheng - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 345-391
Persistent link: https://www.econbiz.de/10003997409
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The making of "estimation of common long-memory components in cointegrated systems"
Gonzalo, Jesús - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 174-176
Persistent link: https://www.econbiz.de/10008652239
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Reminiscing on the 1984 NSF-NBER time series meeting at UC Davis
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 158-159
Persistent link: https://www.econbiz.de/10008652248
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Asymptotic theory of range-based multipower variation
Christensen, Kim; Podolskij, Mark - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 417-456
Persistent link: https://www.econbiz.de/10009570933