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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

Are low-frequency data really uninformative? : a forecasting combination perspective

Ma, Feng; Li, Yu; Liu, Li; Zhang, Yaojie - In: The North American journal of economics and finance : a … 44 (2018), pp. 92-108

Persistent link: https://www.econbiz.de/10012036299

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

Forecasting the realized volatility : the role of jumps

Liu, Zhichao; Ma, Feng; Wang, Xunxiao; Xia, Zean - In: Applied economics letters 23 (2016) 10/12, pp. 736-739

Persistent link: https://www.econbiz.de/10011628475

Generalized method of integrated moments for high-frequency data

Li, Jia; Xiu, Dacheng - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1613-1633

Persistent link: https://www.econbiz.de/10011611168

Forecasting the realized volatility in the Chinese stock market : further evidence

Pu, Wang; Chen, Yixiang; Ma, Feng - In: Applied economics 48 (2016) 31/33, pp. 3116-3130

Persistent link: https://www.econbiz.de/10011616957

Forecasting excess stock returns with crude oil market data

Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324

Persistent link: https://www.econbiz.de/10011533825

Rank tests at jump events

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321

Persistent link: https://www.econbiz.de/10012177350

Volatility forecasting : long memory, regime switching and heteroscedasticity

Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163

Persistent link: https://www.econbiz.de/10012196974

Inference theory for volatility functional dependencies

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34

Persistent link: https://www.econbiz.de/10011704756