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Distribution-free tests of stochastic monotonicity
Delgado, Miguel A.; Escanciano, Juan Carlos - In: Journal of econometrics 170 (2012) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10009673150
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Exact local Whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi - In: Journal of econometrics 169 (2012) 2, pp. 266-278
Persistent link: https://www.econbiz.de/10009673193
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Fitting dynamic factor models to non-stationary time series
Eichler, Michael; Motta, Giovanni; Sachs, Rainer von - In: Journal of econometrics 163 (2011) 1, pp. 51-70
Persistent link: https://www.econbiz.de/10009270587
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Nonparametric model validations for hidden Markov models with applications in financial econometrics
Zhao, Zhibiao - In: Journal of econometrics 162 (2011) 2, pp. 225-239
Persistent link: https://www.econbiz.de/10009270648
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"Stochastically more risk averse" : a contextual theory of stochastic discrete choice under risk
Wilcox, Nathaniel T. - In: Journal of econometrics 162 (2011) 1, pp. 89-104
Persistent link: https://www.econbiz.de/10009270696
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A semiparametric stochastic volatility model
Yu, Jun - In: Journal of econometrics 167 (2012) 2, pp. 473-482
Persistent link: https://www.econbiz.de/10009613920
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Econometric analysis of financial derivatives
Chang, Chia-Lin (ed.); McAleer, Michael (ed.) - 2015
Persistent link: https://www.econbiz.de/10011499675
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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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
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Tests of stationarity against a change in persistence
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 123 (2004) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10002223712