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Estimation of models with multiple-valued explanatory variables

Poirier, Alexandre; Ziebarth, Nicolas L. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 586-597

Persistent link: https://www.econbiz.de/10012178999

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011823308

On high frequency estimation of the frictionless price : the use of observed liquidity variables

Chaker, Selma - In: Journal of econometrics 201 (2017) 1, pp. 127-143

Persistent link: https://www.econbiz.de/10011917437

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Specification tests for the distribution of errors in nonoarametric regression : a martingale approach

Mora, Juan; Pérez-Alonso, Alicia - 2008

Persistent link: https://www.econbiz.de/10003871481

Specification tests for the distribution of errors in nonparametric regression : a martingale approach

Mora, Juan; Pérez-Alonso, Alicia - 2007

Persistent link: https://www.econbiz.de/10003963718

New majorization theory in economics and martingale convergence results in econometrics

Ibragimov, Rustam - 2005

Persistent link: https://www.econbiz.de/10003553406

A note on: an early warning system for market inefficiency

Habibi, Reza - In: Financial internet quarterly 16 (2020) 4, pp. 35-41

a martingale process. Thus, it is necessary to use a suitable EWS tool for violation of martingale properties of the … least square estimates of regression parameters, the hypothesis of variables being martingale is tested. This approach leads …

Persistent link: https://www.econbiz.de/10012509988

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

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