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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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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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Causality and forecasting in temporally aggregated multivariate GARCH processes
Hafner, Christian M. - In: The econometrics journal 12 (2009) 1, pp. 127-146
Persistent link: https://www.econbiz.de/10003841978
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Non-parametric regression with a latent time series
Linton, Oliver; Nielsen, Jens Perch; Nielsen, Søren Feodor - In: The econometrics journal 12 (2009) 2, pp. 187-207
Persistent link: https://www.econbiz.de/10003875342
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Non-parametric detection and estimation of structural change
Kristensen, Dennis - In: The econometrics journal 15 (2012) 3, pp. 420-461
Persistent link: https://www.econbiz.de/10009710134
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Non-stationary non-parametric volatility model
Han, Heejoon; Zhang, Shen - In: The econometrics journal 15 (2012) 2, pp. 204-225
Persistent link: https://www.econbiz.de/10009614928
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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Testing for changing volatility
Wu, Jilin; Xiao, Zhijie - In: The econometrics journal 21 (2018) 2, pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
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Information technology outsourcing and firm productivity : eliminating bias from selective missingness in the dependent variable
Breunig, Christoph; Kummer, Michael E.; Ohnemus, Joerg; … - In: The econometrics journal 23 (2020) 1, pp. 88-114
Persistent link: https://www.econbiz.de/10012167245
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Augmented two-step estimating equations with nuisance functionals and complex survey data
Zhao, Puying; Wu, Changbao - In: The econometrics journal 27 (2024) 1, pp. 37-61
Persistent link: https://www.econbiz.de/10014528089