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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
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Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
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Does the information content of payout initiations and omissions influence firm risks?
Eije, Johan H. von; Goyal, Abhinav; Muckley, Cal - In: Journal of econometrics 183 (2014) 2, pp. 222-229
Persistent link: https://www.econbiz.de/10010506054
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Dividend suspensions and cash flows during the Covid-19 pandemic : a dynamic econometric model
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - In: Journal of econometrics 235 (2023) 2, pp. 1522-1541
Persistent link: https://www.econbiz.de/10014471409
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Asymmetries and nonlinearities in dynamic economic models
Burgess, Simon (contributor) - 1996
Persistent link: https://www.econbiz.de/10000596724
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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
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Conditionally independent private information in OCS wildcat auctions
Li, Tong; Perrigne, Isabelle; Vuong, Quang H. - In: Journal of econometrics 98 (2000) 1, pp. 129-161
Persistent link: https://www.econbiz.de/10001497686
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Econometric specification of the risk neutral valuation model
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 94 (2000) 1/2, pp. 117-143
Persistent link: https://www.econbiz.de/10001437749
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790