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1
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
Saved in:
2
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
Saved in:
3
On
theory
testing in econometrics : modeling with nonexperimental data
Spanos, Aris
- In:
Journal of econometrics
67
(
1995
)
1
,
pp. 189-226
Persistent link: https://www.econbiz.de/10001333011
Saved in:
4
Climate risks and market efficiency
Hong, Harrison G.
;
Li, Frank Weikai
;
Xu, Jiangmin
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Saved in:
5
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:
6
Efficiency of thin and thick markets
Gan, Li
;
Li, Qi
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 40-54
Persistent link: https://www.econbiz.de/10011610655
Saved in:
7
Dangers of data mining : the case of calendar effects in stock returns
Sullivan, Ryan
;
Timmermann, Allan
;
White, Halbert
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 249-286
Persistent link: https://www.econbiz.de/10001617167
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8
The quantilogram : with an application to evaluating directional predictability
Linton, Oliver
;
Whang, Yoon-jae
- In:
Journal of econometrics
141
(
2007
)
1
,
pp. 250-282
Persistent link: https://www.econbiz.de/10003571283
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9
A wavelet method for panel models with jump discontinuities in the parameters
Bada, Oualid
;
Kneip, Alois
;
Liebl, Dominik
;
Mensinger, Tim
- In:
Journal of econometrics
226
(
2022
)
2
,
pp. 399-422
Persistent link: https://www.econbiz.de/10013461818
Saved in:
10
ARCH models in finance
Engle, Robert F.
(
contributor
)
- In:
Journal of econometrics
52
(
1992
)
1
,
pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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