Narrow search
Showing 1 - 10 of 273
Cover Image
Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
Corradi, Valentina; Iglesias, Emma M. - In: Journal of econometrics 144 (2008) 2, pp. 500-510
Persistent link: https://www.econbiz.de/10003774696
Cover Image
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
Cover Image
Estimation and test for power-transformed and threshold GARCH models
Pan, Jiazhu; Wang, Hui; Tong, Howell - In: Journal of econometrics 142 (2008) 1, pp. 352-378
Persistent link: https://www.econbiz.de/10003608206
Cover Image
Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
Cover Image
Identification, estimation and testing of conditionally heteroskedastic factor models
Sentana, Enrique; Fiorentini, Gabriele - In: Journal of econometrics 102 (2001) 2, pp. 143-164
Persistent link: https://www.econbiz.de/10001580599
Cover Image
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
González-Rivera, Gloria; Drost, Feike C. - In: Journal of econometrics 93 (1999) 1, pp. 93-111
Persistent link: https://www.econbiz.de/10001406643
Cover Image
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - In: Journal of econometrics 222 (2021) 1,2, pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
Cover Image
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Cover Image
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Cover Image
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien - In: Journal of econometrics 234 (2023) 1, pp. 178-204
Persistent link: https://www.econbiz.de/10014364731