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Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
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Sequential estimation of shape parameters in multivariate dynamic models
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 177 (2013) 2, pp. 233-249
Persistent link: https://www.econbiz.de/10010254873
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Adaptive estimation of the threshold point in threshold regression
Yu, Ping - In: Journal of econometrics 189 (2015) 1, pp. 83-100
Persistent link: https://www.econbiz.de/10011502494
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Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
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Adaptive inference on pure spatial models
Lee, Jungyoon; Robinson, Peter M. - In: Journal of econometrics 216 (2020) 2, pp. 375-393
Persistent link: https://www.econbiz.de/10012439728
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Nonparametric specification testing via the trinity of tests
Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 169-185
Persistent link: https://www.econbiz.de/10011974652
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Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 200 (2017) 1, pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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Variation and efficiency of high-frequency betas
Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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Entropy densities with an application to autoregressive conditional skewness and kurtosis
Rockinger, Michael; Jondeau, Eric - In: Journal of econometrics 106 (2002) 1, pp. 119-142
Persistent link: https://www.econbiz.de/10001633716
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A semiparametric GARCH model for foreign exchange volatility
Yang, Lijian - In: Journal of econometrics 130 (2006) 2, pp. 365-384
Persistent link: https://www.econbiz.de/10003277973