Narrow search
Showing 1 - 10 of 6,851
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
Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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
Measuring tail risk
Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of econometrics 241 (2024) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10015075193
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
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