Narrow search
Showing 1 - 10 of 7,948
Cover Image
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
Cover Image
Estimation and inference in semiparametric quantile factor models
Ma, Shujie; Linton, Oliver; Gao, Jiti - In: Journal of econometrics 222 (2021) 1,2, pp. 295-323
Persistent link: https://www.econbiz.de/10012619426
Cover Image
Solving Euler equations via two-stage nonparametric penalized splines
Cui, Liyuan; Hong, Yongmiao; Li, Yingxing - In: Journal of econometrics 222 (2021) 2, pp. 1024-1056
Persistent link: https://www.econbiz.de/10012619815
Cover Image
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Cover Image
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira; Sanfelici, Simona - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Cover Image
A nonparametric ACD model
Cosma, Antonio; Galli, Fausto - In: Financial mathematics, volatility and covariance modelling, (pp. 122-144). 2019
Persistent link: https://www.econbiz.de/10012249110
Cover Image
Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467
Persistent link: https://www.econbiz.de/10012203261
Cover Image
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping; Hou, Weijie; Zhou, Shengyi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Cover Image
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Cover Image
Realized density estimation using intraday prices
Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9
estimation method is applied to DAX intraday prices, which balances between the bias and the variance of the realized moments … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …
Persistent link: https://www.econbiz.de/10012264979