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1
Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.
;
Velasco, Carlos
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 435-452
Persistent link: https://www.econbiz.de/10011348967
Saved in:
2
Econometric
estimation
with high-dimensional moment equalities
Shi, Zhentao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10011705235
Saved in:
3
First difference
estimation
of spatial dynamic panel data models with fixed effects
Jin, Fei
;
Lee, Lung-fei
;
Yu, Jihai
- In:
Economics letters
189
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012228071
Saved in:
4
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo
;
Medeiros, Marcelo C.
;
Veiga, Alvaro
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
Saved in:
5
Bias
-corrected estimators for the Vasicek model : an application in risk measure
estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
6
A new approach to model regime switching
Chang, Yoosoon
;
Choi, Yongok
;
Park, Joon Y.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 127-143
Persistent link: https://www.econbiz.de/10011743787
Saved in:
7
Why frequency matters for unit root
testing
Boswijk, Herman Peter
;
Klaassen, Franc
-
2004
-
Rev.
recent work on unit root and cointegration
testing
based non-Gaussian likelihood functions. The essential idea is that such …
Persistent link: https://www.econbiz.de/10011342578
Saved in:
8
An automatic
bias
correction procedure for volatility
estimation
using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
9
Expected shortfall
estimation
and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
Saved in:
10
GARCH-UGH : a
bias
-reduced approach for dynamic extreme Value-at-Risk
estimation
in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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