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Volatility
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Bollerslev, Tim
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Conference on Realized Volatility <2006, Montréal>
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ECONIS (ZBW)
400
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1
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
2
Powerful tests for structural changes in
volatility
Xu, Ke-li
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 126-142
Persistent link: https://www.econbiz.de/10009719626
Saved in:
3
Modelling structural breaks, long memory and stock market
volatility
: an overview
Banerjee, Anindya
(
contributor
);
Urga, Giovanni
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003172637
Saved in:
4
Modelling structural breaks, long memory and stock market
volatility
: an overview
Banerjee, Anindya
;
Urga, Giovanni
- In:
Journal of econometrics
129
(
2005
)
1/2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10003172659
Saved in:
5
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
Saved in:
6
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
7
Forecasting inflation using commodity price aggregates
Chen, Yu-chin
;
Turnovsky, Stephen J.
;
Zivot, Eric
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 117-134
Persistent link: https://www.econbiz.de/10010506079
Saved in:
8
Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators
Michaelides, Alexander G.
;
Ng, Serena
- In:
Journal of econometrics
96
(
2000
)
2
,
pp. 231-266
Persistent link: https://www.econbiz.de/10001468767
Saved in:
9
Likelihood ratio tests for multiple structural changes
Bai, Jushan
- In:
Journal of econometrics
91
(
1999
)
2
,
pp. 299-323
Persistent link: https://www.econbiz.de/10001382092
Saved in:
10
Tests of cointegrating rank with a trend-break
Inoue, Atsushi
- In:
Journal of econometrics
90
(
1999
)
2
,
pp. 215-237
Persistent link: https://www.econbiz.de/10001382112
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