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Copula structured M4 processes with application to high-frequency financial data
Zhang, Zhengjun; Zhu, Bin - In: Journal of econometrics 194 (2016) 2, pp. 231-241
Persistent link: https://www.econbiz.de/10011705118
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Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
Kock, Anders Bredahl - In: Journal of econometrics 195 (2016) 1, pp. 71-85
Persistent link: https://www.econbiz.de/10011705233
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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R-estimation in semiparametric dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258
Persistent link: https://www.econbiz.de/10011818289
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Unequal spacing in dynamic panel data : identification and estimation
Sasaki, Yuya; Xin, Yi - In: Journal of econometrics 196 (2017) 2, pp. 320-330
Persistent link: https://www.econbiz.de/10011818300
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels; Valdés, J. Eduardo Vera - In: Journal of econometrics 199 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011818800
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Bayesian estimation of state space models using moment conditions
Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211
Persistent link: https://www.econbiz.de/10011918691
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Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383
Persistent link: https://www.econbiz.de/10011920520