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Quasi-likelihood estimation of a threshold diffusion process

Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484

Persistent link: https://www.econbiz.de/10011504631

Continuous time modelling based on an exact discrete time representation

Chambers, Marcus J.; MacCrorie, J. Roderick; Thornton, … - University of Essex / Department of Economics - 2017

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Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

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Testing for threshold diffusion

Su, Fei; Chan, Kung-sik - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 218-227

Persistent link: https://www.econbiz.de/10011704178

Forecasting dirty tanker freight rate index by using stochastic differential equations

Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15

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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

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Overnight GARCH-Itô volatility models

Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227

Persistent link: https://www.econbiz.de/10014448607

Small trends and big cycles in crude oil prices

Mu, Xiaoyi; Ye, Haichun - In: The energy journal 36 (2015) 1, pp. 49-72

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Trend-cycle decomposition for Peruvian GDP : application of an alternative method

Guillén, Ángel; Rodriguez, Gabriel - In: Latin American economic review : LAER ; official … 23 (2014), pp. 1-44

Perron and Wada (J Monet Econ 56:749-65, 2009) propose a new method of decomposition of the GDP in its trend and cycle …, which presents a mixture of normals in the disturbances of the trend and cycle component of output. The obtained trend …

Persistent link: https://www.econbiz.de/10010254293

The trend-cycle decomposition of output and the Phillips curve : Bayesian estimates for Italy and the Euro area

Busetti, Fabio; Caivano, Michele - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1565-1587

Persistent link: https://www.econbiz.de/10011481732