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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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The drift burst hypothesis
Christensen, Kim; Oomen, Roel; Renò, Roberto - In: Journal of econometrics 227 (2022) 2, pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - In: Journal of econometrics 210 (2019) 1, pp. 187-202
Persistent link: https://www.econbiz.de/10012303393
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Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
Fisher, Mark; Jensen, Mark J. - In: Journal of econometrics 230 (2022) 1, pp. 131-153
Persistent link: https://www.econbiz.de/10013441924
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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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Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of econometrics 162 (2011) 2, pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
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Logit versus discriminant analysis : a specification test and application to corporate bankruptcies
Lo, Andrew W. - In: Journal of econometrics 31 (1986) 2, pp. 151-178
Persistent link: https://www.econbiz.de/10003619351
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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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Maximum score estimation of disequilibrium models and the role of anticipatory price-setting
Mayer, Walter James - In: Journal of econometrics 87 (1998) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001248308