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Robust stochastic discount factors
Boyle, Phelim P.; Feng, Shui; Tian, Weidong; Wang, Tan - In: The review of financial studies 21 (2008) 3, pp. 1077-1122
Persistent link: https://www.econbiz.de/10003742222
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A Bayesian analysis of return dynamics with Lévy jumps
Li, Haitao; Wells, Martin T.; Yu, Cindy L. - In: The review of financial studies 21 (2008) 5, pp. 2345-2378
Persistent link: https://www.econbiz.de/10003765224
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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang; Yao, Qiwei - In: Journal of econometrics 147 (2008) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10003783795
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Local likelihood estimation of truncated regression and its partial derivatives : theory and application
Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - In: Journal of econometrics 146 (2008) 1, pp. 185-198
Persistent link: https://www.econbiz.de/10003778287
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Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
Lee, Sokbae; Seo, Myung Hwan - In: Journal of econometrics 144 (2008) 2, pp. 492-499
Persistent link: https://www.econbiz.de/10003774693
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Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
Shintani, Mototsugu; Linton, Oliver - In: Journal of econometrics 120 (2004) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001998813
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Nonstationary discrete choice
Hu, Ling; Phillips, Peter C. B. - In: Journal of econometrics 120 (2004) 1, pp. 103-138
Persistent link: https://www.econbiz.de/10001998884