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Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of applied econometrics 30 (2015) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10011332871
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - In: Journal of applied econometrics 18 (2003) 4, pp. 457-470
Persistent link: https://www.econbiz.de/10001779861
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A simple framework for analysing bull and bear markets
Pagan, Adrian R.; Sossounov, Kirill A. - In: Journal of applied econometrics 18 (2003) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001738239
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On Markov error-correction models, with an application to stockprices and dividends
Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Journal of applied econometrics 19 (2004) 1, pp. 69-88
Persistent link: https://www.econbiz.de/10001924673
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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Market fundamentals versus rational bubbles in stock prices : a Bayesian perspective
Balke, Nathan S.; Wohar, Mark E. - In: Journal of applied econometrics 24 (2009) 1, pp. 35-75
Persistent link: https://www.econbiz.de/10003807530
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A hidden markov model approach to information-based trading : theory and applications
Yin, Xiangkang; Zhao, Jing - In: Journal of applied econometrics 30 (2015) 7, pp. 1210-1234
Persistent link: https://www.econbiz.de/10011431764
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - In: Journal of applied econometrics 31 (2016) 7, pp. 1215-1233
Persistent link: https://www.econbiz.de/10011687454
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Assessing the performance of matching algorithms when selection into treatment is strong
Augurzky, Boris; Kluve, Jochen - In: Journal of applied econometrics 22 (2007) 3, pp. 533-557
Persistent link: https://www.econbiz.de/10003455473