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Maximum likelihood and Gaussian estimation of continuous time models in finance
Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007
Persistent link: https://www.econbiz.de/10003462517
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A two-stage realized volatility approach to the estimation for diffusion processes from discrete observations
Phillips, Peter C. B.; Yu, Jun - 2005
Persistent link: https://www.econbiz.de/10003000713
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In-fill asymptotic theory for structural break point in autoregressions
Jiang, Liang; Wang, Xiaohu; Yu, Jun - In: Econometric reviews 40 (2021) 4, pp. 359-386
Persistent link: https://www.econbiz.de/10012515605
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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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Asymptotic theory for local time density estimation and nonparametric cointegrating regression
Wang, Qiying; Phillips, Peter C. B. - In: Econometric theory 25 (2009) 3, pp. 710-738
Persistent link: https://www.econbiz.de/10003864160
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Asymptotic theory for local time density estimation and nonparametric cointegrating regression
Wang, Qiying (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003461553
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A simple approach to the parametric estimation of potentially nonstationary diffusions
Bandi, Federico M.; Phillips, Peter C. B. - In: Journal of econometrics 137 (2007) 2, pp. 354-395
Persistent link: https://www.econbiz.de/10003441769
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Gaussian inference in AR(1) time series with or without a unit root
Phillips, Peter C. B. (contributor); Han, Chirok (contributor) - 2006
Persistent link: https://www.econbiz.de/10003468431
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Bimodal t-ratios : the impact of thick tails on inference
Fiorio, Carlo V.; Hajivassiliou, Vassilis Argyrou; … - In: The econometrics journal 13 (2010) 2, pp. 271-289
Persistent link: https://www.econbiz.de/10003978526
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LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
Cho, Jin Seo; Han, Chirok; Phillips, Peter C. B. - In: Econometric theory 26 (2010) 3, pp. 953-962
Persistent link: https://www.econbiz.de/10003992445