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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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Robust estimation of additive boundaries with quantile regression and shape constraints
Fang, Yan; Xue, Lan; Martins-Filho, Carlos; Yang, Lijian - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 615-628
Persistent link: https://www.econbiz.de/10013534015
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Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
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Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
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Tilted nonparametric estimation of volatility functions with empirical applications
Xu, Ke-li; Phillips, Peter C. B. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 518-528
Persistent link: https://www.econbiz.de/10009355632
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Local parametric estimation in high frequency data
Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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Semiparametric estimation in continuous-time : asymptotics for integrated volatility functionals with small and large bandwidths
Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 793-806
Persistent link: https://www.econbiz.de/10012587983