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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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Assessing misspecified asset pricing models with empirical likelihood estimators
Almeida, Caio; Garcia, René - In: Journal of econometrics 170 (2012) 2, pp. 519-537
Persistent link: https://www.econbiz.de/10009686763
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A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim; Küchlin, Eva-Maria - In: Journal of econometrics 205 (2018) 1, pp. 6-33
Persistent link: https://www.econbiz.de/10012110233
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Factor models for asset returns based on transformed factors
Li, Jialiang; Zhang, Wenyang; Kong, Efang - In: Journal of econometrics 207 (2018) 2, pp. 432-448
Persistent link: https://www.econbiz.de/10012116375
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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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Efficient two-step estimation via targeting
Frazier, David T.; Renault, Eric - In: Journal of econometrics 201 (2017) 2, pp. 212-227
Persistent link: https://www.econbiz.de/10011918705
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Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 2, pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
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A semiparametric single index model with heterogeneous impacts on an unobserved variable
Lee, Jiyon - In: Journal of econometrics 184 (2015) 1, pp. 13-36
Persistent link: https://www.econbiz.de/10011326821
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - In: Journal of econometrics 74 (1996) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10001755360
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On the functional estimation of jump-diffusion models
Bandi, Federico M.; Nguyen, Thong H. - In: Journal of econometrics 116 (2003) 1/2, pp. 293-328
Persistent link: https://www.econbiz.de/10001772153