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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze; Linton, Oliver - In: Journal of econometrics 147 (2008) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
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Testing for jumps when asset prices are observed with noise : a "swap variance" approach
Jiang, George J.; Oomen, Roel C.A. - In: Journal of econometrics 144 (2008) 2, pp. 352-370
Persistent link: https://www.econbiz.de/10003774646
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Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Clark, Todd E.; West, Kenneth D. - In: Journal of econometrics 135 (2006) 1/2, pp. 155-186
Persistent link: https://www.econbiz.de/10003376081
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Testing semiparametric conditional moment restrictions using conditional martingale transforms
Song, Kyungchul - In: Journal of econometrics 154 (2010) 1, pp. 74-84
Persistent link: https://www.econbiz.de/10003931787
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Adaptive estimation of autoregressive models with time-varying variances
Xu, Ke-Li; Phillips, Peter C. B. - In: Journal of econometrics 142 (2008) 1, pp. 265-280
Persistent link: https://www.econbiz.de/10003608182
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Realized range-based estimation of integrated variance
Christensen, Kimberly; Podolskij, Mark - In: Journal of econometrics 141 (2007) 2, pp. 323-349
Persistent link: https://www.econbiz.de/10003571292
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On the jump activity index for semimartingales
Jing, Bingyi; Kong, Xinbing; Liu, Zhi; Mykland, Per A. - In: Journal of econometrics 166 (2012) 2, pp. 213-223
Persistent link: https://www.econbiz.de/10009509230