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Editorial: Recent advances in panel data, nonlinear and nonparametric models : a festschrift in honor of Peter C.B. Phillips
Mariano, Roberto S.; Xiao, Zhijie; Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10009666784
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Recent Advances in panel data, nonlinear and nonparametric models : a Festschrift in honor of Peter C. B. Phillips
Mariano, Roberto S. (contributor);  … - 2012
Persistent link: https://www.econbiz.de/10009666881
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Gaussian estimation of continuous time models of the short term interest rate
Yu, Jun; Phillips, Peter C. B. - 2001
Persistent link: https://www.econbiz.de/10001596325
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A Gaussian approach for continous time models of the short-term interest rate
Yu, Jun; Phillips, Peter C. B. - In: The econometrics journal 4 (2001) 4, pp. 210-224
Persistent link: https://www.econbiz.de/10001651353
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A semiparametric stochastic volatility model
Yu, Jun - In: Journal of econometrics 167 (2012) 2, pp. 473-482
Persistent link: https://www.econbiz.de/10009613920
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Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping; Yu, Jun; Zhang, Chen - 2022
Persistent link: https://www.econbiz.de/10013542219
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Econometric analysis of Fisher's equation
Phillips, Peter C. B. - 1998
Persistent link: https://www.econbiz.de/10000673153
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Local limit theory and spurious nonparametric regression
Phillips, Peter C. B. - In: Econometric theory 25 (2009) 6, pp. 1466-1497
Persistent link: https://www.econbiz.de/10003904416
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Forecasting Realized Volatility Using a Nonnegative Semiparametric Model
Eriksson, Anders - 2019
This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen and Shephard (2001) and Nielsen and Shephard (2003) by way of a power transformation. It is...
Persistent link: https://www.econbiz.de/10012863889
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Semiparametric cointegrating rank selection
Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767412