Narrow search
Showing 1 - 10 of 201
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Estimating regional trade agreement effects on FDI in an interdependent world
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - In: Journal of econometrics 145 (2008) 1/2, pp. 194-208
Persistent link: https://www.econbiz.de/10003776456
Cover Image
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Cover Image
The common and specific components of dynamic volatility
Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
Cover Image
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
Cover Image
The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Bun, Maurice J. G.; Kiviet, J. F. - In: Journal of econometrics 132 (2006) 2, pp. 409-444
Persistent link: https://www.econbiz.de/10003348774
Cover Image
Information optimality and Bayesian modelling
Clarke, Bertrand - In: Journal of econometrics 138 (2007) 2, pp. 405-429
Persistent link: https://www.econbiz.de/10003464270
Cover Image
Efficient information theoretic inference for conditional moment restrictions
Smith, Richard J. - In: Journal of econometrics 138 (2007) 2, pp. 430-460
Persistent link: https://www.econbiz.de/10003464273