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Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D. - In: The econometrics journal 14 (2011) 2, pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
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Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
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ARMA representation of integrated and realized variances
Meddahi, Nour - In: The econometrics journal 6 (2003) 2, pp. 335-356
Persistent link: https://www.econbiz.de/10001831259
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Consistency of kernel variance estimators for sums of semiparametric linear processes
Davidson, James E. H.; Jong, Robert M. de - In: The econometrics journal 5 (2002) 1, pp. 150-175
Persistent link: https://www.econbiz.de/10001683700
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Model averaging estimation for high-dimensional covariance matrices with a network structure
Zhu, Rong; Zhang, Xinyu; Ma, Yanyuan; Zou, Guohua - In: The econometrics journal 24 (2021) 1, pp. 177-197
Persistent link: https://www.econbiz.de/10012504463
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Expectations hypotheses tests at long horizons
Rossi, Barbara - In: The econometrics journal 10 (2007) 3, pp. 554-579
Persistent link: https://www.econbiz.de/10003637619
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Searching for cointegration in a dynamic system
Qu, Zhongjun - In: The econometrics journal 10 (2007) 3, pp. 580-604
Persistent link: https://www.econbiz.de/10003637627
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A bias-adjusted LM test of error cross-section independence
Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi - In: The econometrics journal 11 (2008) 1, pp. 105-127
Persistent link: https://www.econbiz.de/10003648644
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Simulation-based tests for heteroskedasticity in linear regression models : some further results
Godfrey, L. G.; Orme, Chris D.; Silva, João Santos - In: The econometrics journal 9 (2006) 1, pp. 76-97
Persistent link: https://www.econbiz.de/10003320202
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Mean group tests for stationarity in heterogeneous panels
Shin, Yongcheol; Snell, Andy - In: The econometrics journal 9 (2006) 1, pp. 123-158
Persistent link: https://www.econbiz.de/10003320228