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Short and long run causality measures : theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - In: Journal of econometrics 154 (2010) 1, pp. 42-58
Persistent link: https://www.econbiz.de/10003931784
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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
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Short and long run causality measures: Theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - In: Journal of econometrics 154 (2010) 1, pp. 42-59
Persistent link: https://www.econbiz.de/10008894619
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Testing the eigenvalue structure of spot and integrated covariance
Dovonon, Prosper; Taamouti, Abderrahim; Williams, Julian - In: Journal of econometrics 229 (2022) 2, pp. 363-395
Persistent link: https://www.econbiz.de/10013441888
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Estimation of stable distributions by indirect inference
Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337
Persistent link: https://www.econbiz.de/10009242117
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Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
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Assessing misspecified asset pricing models with empirical likelihood estimators
Almeida, Caio; Garcia, René - In: Journal of econometrics 170 (2012) 2, pp. 519-537
Persistent link: https://www.econbiz.de/10009686763
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The long and the short of the risk-return trade-off
Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: Journal of econometrics 187 (2015) 2, pp. 580-592
Persistent link: https://www.econbiz.de/10011499780
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Asymptotic properties of Monte Carlo estimators of diffusion processes
Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Journal of econometrics 134 (2006) 1, pp. 1-68
Persistent link: https://www.econbiz.de/10003368411
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Econometric methods for derivative securities and risk management
Garcia, René (contributor); Ghysels, Eric (contributor);  … - In: Journal of econometrics 94 (2000) 1/2, pp. 1-7
Persistent link: https://www.econbiz.de/10001437739