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Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - 2016
Persistent link: https://www.econbiz.de/10011524100
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Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2014
Persistent link: https://www.econbiz.de/10010388017
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Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - 2021
Persistent link: https://www.econbiz.de/10012621491
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Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10014365470