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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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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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Predictive modeling of financial data : editorial
Andersen, Torben; Taylor, Robert; Timmermann, Allan; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-4
Persistent link: https://www.econbiz.de/10014471792
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Volatility prediction comparison via robust volatility proxies : an empirical deviation perspective
Wang, Weichen; An, Ran; Zhu, Ziwei - In: Journal of econometrics 239 (2024) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10015074492
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Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus; Neely, Christopher J.; Winkelmann, Lars - In: Journal of econometrics 209 (2019) 2, pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
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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