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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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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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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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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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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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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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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