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Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - In: Journal of econometrics 185 (2015) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
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Local parametric analysis of hedging in discrete time
Bossaerts, Peter L. - In: Journal of econometrics 81 (1997) 1, pp. 243-272
Persistent link: https://www.econbiz.de/10001336795
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Local polynomial estimators of the volatility function in nonparametric autoregression
Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
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Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald - In: Journal of econometrics 81 (1997) 1, pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
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The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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Efficient method of moments estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben; Chung, Hyung-Jin; Sørensen, Bent E. - In: Journal of econometrics 91 (1999) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
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Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine - In: Journal of econometrics 84 (1998) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10001234470