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Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
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Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira
Kassouri, Yacouba; Altıntaş, Halil - In: Research in international business and finance 52 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012548194
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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013259517
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An econometric analysis of volatility discovery
Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …
Persistent link: https://www.econbiz.de/10009389845
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000989214
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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