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Testing for long memory in potentially nonstationary perturbed fractional processes
Frederiksen, Per; Nielsen, Frank S. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 329-381
Persistent link: https://www.econbiz.de/10010351544
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Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
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Asymptotic properties of GARCH-X processes
Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
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One-step semiparametric estimation of the GARCH model
Di, Jianing; Gangopadhyay, Ashis - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818