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Power transformations of absolute returns and long memory estimation
Dalla, Violetta - In: Journal of empirical finance 33 (2015), pp. 1-18
Persistent link: https://www.econbiz.de/10011556833
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Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo; Lin, Jin-Guan; Zhao, Yan-Yong; Hao, Hong-Xia - In: Journal of empirical finance 33 (2015), pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
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Regime shifts in interest rate volatility
Sun, Licheng - In: Journal of empirical finance 12 (2005) 3, pp. 418-434
Persistent link: https://www.econbiz.de/10002900508
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Nonparametric estimates of pricing functionals
Marinelli, Carlo; D'Addona, Stefano - In: Journal of empirical finance 44 (2017), pp. 19-35
Persistent link: https://www.econbiz.de/10011817977
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Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - In: Journal of empirical finance 74 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
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Exact distribution-free tests of mean-variance efficiency
Gungor, Sermin; Luger, Richard - In: Journal of empirical finance 16 (2009) 5, pp. 816-829
Persistent link: https://www.econbiz.de/10003900411
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A robust Glasso approach to portfolio selection in high dimensions
Ding, Wenliang; Shu, Lianjie; Gu, Xinhua - In: Journal of empirical finance 70 (2023), pp. 22-37
Persistent link: https://www.econbiz.de/10014423577
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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A frequency-domain alternative to long-horizon regressions with application to return predictability
Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272
Persistent link: https://www.econbiz.de/10011285632
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609
Persistent link: https://www.econbiz.de/10009615659