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A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Ikeda, Shin S. - In: Journal of econometrics 193 (2016) 1, pp. 203-214
Persistent link: https://www.econbiz.de/10011704791
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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On the robustness of location estimators in models of firm growth under heavy-tailedness
Ibragimov, Rustam Ju. - In: Journal of econometrics 181 (2014) 1, pp. 25-33
Persistent link: https://www.econbiz.de/10010473439
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Dynamic panels with MIDAS covariates : nonlinearity, estimation and fit
Khalaf, Lynda; Kichian, Maral; Saunders, Charles J.; … - In: Journal of econometrics 220 (2021) 2, pp. 589-605
Persistent link: https://www.econbiz.de/10012618569
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An empirical total survey error decomposition using data combination
Meyer, Bruce D.; Mittag, Nikolas - In: Journal of econometrics 224 (2021) 2, pp. 286-305
Persistent link: https://www.econbiz.de/10013275392
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Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 218 (2020) 2, pp. 633-654
Persistent link: https://www.econbiz.de/10012483174
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Correcting attrition bias using changes-in-changes
Ghanem, Dalia; Hirshleifer, Sarojini; Kédagni, Désiré; … - In: Journal of econometrics 241 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015075166
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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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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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