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Generalized aggregation of misspecified models : with an application to asset pricing
Gospodinov, Nikolaj; Maasoumi, Esfandiar - In: Journal of econometrics 222 (2021) 1,2, pp. 451-467
Persistent link: https://www.econbiz.de/10012619705
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Journal of econometrics 227 (2022) 1, pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
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Variation and efficiency of high-frequency betas
Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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Autoregressive conditional betas
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 238 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015073921
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Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
Windmeijer, Frank - In: Journal of econometrics 240 (2024) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10015075096
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Instrumental quantile regression inference for structural and treatment effect models
Chernozhukov, Victor; Hansen, Christian Bailey - In: Journal of econometrics 132 (2006) 2, pp. 491-525
Persistent link: https://www.econbiz.de/10003348786
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The effect of microaggregation by individual ranking on the estimation of moments
Schmid, Matthias; Schneeweiß, Hans - In: Journal of econometrics 153 (2009) 2, pp. 174-182
Persistent link: https://www.econbiz.de/10003920296
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Structural estimation of jump-diffusion processes in macroeconomics
Posch, Olaf - In: Journal of econometrics 153 (2009) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10003920299
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Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250
Persistent link: https://www.econbiz.de/10008839925