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Continuous time ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.; Chambers, Marcus J. - In: Journal of economic dynamics & control 79 (2017), pp. 48-65
Persistent link: https://www.econbiz.de/10011817599
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012313608
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - In: Journal of economic dynamics & control 29 (2005) 4, pp. 741-763
Persistent link: https://www.econbiz.de/10002702762
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An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
Jensen, Mark J. - In: Journal of economic dynamics & control 24 (2000) 3, pp. 361-387
Persistent link: https://www.econbiz.de/10001433033
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Modelling long memory and structural breaks in conditional variances : an adaptive FIGARCH approach
Baillie, Richard; Morana, Claudio - In: Journal of economic dynamics & control 33 (2009) 8, pp. 1577-1592
Persistent link: https://www.econbiz.de/10003861075
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The risk return relationship : evidence from index returns and realised variances
Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012312640
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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut; Schlaak, Thore - In: Journal of economic dynamics & control 101 (2019), pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
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Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut; Milunovich, George - In: Journal of economic dynamics & control 73 (2016), pp. 241-258
Persistent link: https://www.econbiz.de/10011709107