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Exploiting common features in macroeconomic and financial data

Çakmaklı, Cem - 2012

Persistent link: https://www.econbiz.de/10009713424

A long-run relationship between stock price index and exchange rate : a structural nonparametric cointegration regression approach

Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of international financial markets, … 25 (2013), pp. 106-118

Persistent link: https://www.econbiz.de/10009762800

Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices

Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012816791

Regression models for ordinal valued time series with application to high frequency financial data

Müller, Gernot; Czado, Claudia - 2002

Persistent link: https://www.econbiz.de/10001744451

A Bayesian quantile time series model for asset returns

Griffin, Jim E.; Mitrodima, Gelly - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 16-27

Persistent link: https://www.econbiz.de/10012804077

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