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Nonlinear scaling behavior of visible volatility duration for financial statistical physics dynamics
Zhang, B.; Wang, J.; Zhang, W.; Wang, G. C. - In: Computational economics 56 (2020) 2, pp. 373-389
Persistent link: https://www.econbiz.de/10012272040
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Essays in the econometrics of dynamic duration models with application to tick by tick financial data
Galli, Fausto - 2009
Persistent link: https://www.econbiz.de/10003986565
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The moments of Log-ACD models
Bauwens, Luc; Galli, Fausto; Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001790741
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A S.A.F.E. approach to risk : saddlepoint approximations in financial econometrics
Broda, Simon A. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003640172
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Studying co-movements in large multivariate models without multivariate modelling
Cubadda, Gianluca; Hecq, Alain W. J.; Palm, Franz C. - 2007
Persistent link: https://www.econbiz.de/10003647580
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Studying co-movements in large multivariate data prior to multivariate modelling
Cubadda, Gianluca; Hecq, Alain W. J.; Palm, Franz C. - In: Journal of econometrics 148 (2009) 1, pp. 25-35
Persistent link: https://www.econbiz.de/10003813089
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Variance change-point detection in panel data models
Li, Fuxiao; Zheng, Tian; Xiao, Yanting; Chen, Zhanshou - In: Economics letters 126 (2015), pp. 140-143
Persistent link: https://www.econbiz.de/10011376444
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Accurate statistical analysis in dynamic panel data models
Bun, Maurice J. G. - 2001
Persistent link: https://www.econbiz.de/10001690144
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Econometrics in theory and practice : analysis of cross section, time series and panel data with Stata 15.1
Das, Panchanan - 2019
This book introduces econometric analysis of cross section, time series and panel data with the application of … in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and … random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most …
Persistent link: https://www.econbiz.de/10012127944
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Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
Cubadda, Gianluca; Hecq, Alain; Palm, Franz C. - 2014
presence of co-movements in a set of multiple time series. Our results justify both the use of a panel setup with homogeneous …
Persistent link: https://www.econbiz.de/10014217908