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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
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Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Variance risk : a bird's eye view
Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Asset selection based on high frequency Sharpe ratio
Wang, Christina Dan; Chen, Zhao; Lian, Yimin; Chen, Min - In: Journal of econometrics 227 (2022) 1, pp. 168-188
Persistent link: https://www.econbiz.de/10013441645
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A comparison of the GB2 and skewed generalized log-t distributions with an application in finance
Higbee, Joshua D.; McDonald, James B. - In: Journal of econometrics 240 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015075089
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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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The nonlinear price dynamics of US equity ETFs
Caginalp, Gunduz; DeSantis, Mark; Sayrak, Akin - In: Journal of econometrics 183 (2014) 2, pp. 193-201
Persistent link: https://www.econbiz.de/10010506060
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Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben; Archakov, Ilya; Cebiroglu, Gökhan; … - In: Journal of econometrics 230 (2022) 2, pp. 510-534
Persistent link: https://www.econbiz.de/10013464102