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Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of econometrics 167 (2012) 1, pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
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Estimating covariation : Epps effect, microstructure noise
Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 33-47
Persistent link: https://www.econbiz.de/10009242560
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
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Asset-pricing anomalies at the firm level
Cederburg, Scott; O'Doherty, Michael - In: Journal of econometrics 186 (2015) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10011349540
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Volatility activity : specification and estimation
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 178 (2014) 1, pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US
Bhargava, Alok - In: Journal of econometrics 183 (2014) 2, pp. 241-250
Persistent link: https://www.econbiz.de/10010506049