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~subject:"Estimation"
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Estimation
Theorie
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763
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763
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676
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Todorov, Viktor
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2
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2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
627
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491
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473
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Finance research letters
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183
International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
267
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1
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
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2
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
Saved in:
3
Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
Saved in:
4
Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela
;
Frühwirth-Schnatter, Sylvia
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
Saved in:
5
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
6
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
7
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
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8
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
9
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
10
The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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