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ECONIS (ZBW)
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1
Daily price limits and destructive market behavior
Chen, Ting
;
Gao, Zhenyu
;
He, Jibao
;
Jiang, Wenxi
;
Xiong, Wei
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 249-264
Persistent link: https://www.econbiz.de/10012144975
Saved in:
2
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
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3
Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge
;
LeFol, Gaëlle
;
Mero, Gulten
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
Saved in:
4
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
5
Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim
;
Bouezmarni, Taoufik
;
El Ghouch, Anouar
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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6
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
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7
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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8
Sieve estimation of option-implied state price density
Luo, Junwen
;
Qu, Zhongjun
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 88-112
Persistent link: https://www.econbiz.de/10013275364
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9
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
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10
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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